XVZ

iPath

®

S&P 500 Dynamic VIX ETN

Free Writing Prospectus

Filed

Pursuant

to

Rule

433

Registration No. 333-169119

July 6, 2012

Summary

Investor Demand For a New Volatility Product

Investor usage and feedback identifies demand for a volatility product addressing:

Cost of holding short-term volatility during equity bull markets

Lower responsiveness of mid-term volatility during periods of high volatility

Dynamic VIX Concept Framework

Investment

designed

to

react

positively

to

volatility

(not

pure

‘alpha’

or

arbitrage)

that:

Allocates

between

long

or

short

position

in

shorter-dated

VIX

®

futures

in

high

and

low

volatility

environments,

respectively,

combined

with

a

core

long

mid-term

VIX

®

futures

position

Uses

daily

market

signals

for

switching

between

long/short

position

in

short-dated

VIX

®

futures

based

on

backwardation or contango of implied volatility

XVZ: iPath

®

S&P 500 Dynamic VIX ETN

Listed

on

Aug

18

th

2011

on

NYSE

Arca

under

ticker

XVZ

Linked

to

the

S&P

500

®

Dynamic

VIX

Futures

TM

Index

$271mn

of

notional

amount

since

launch

1

Awarded

“Most

Innovative

ETP”

for

the

Americas

in

2012

2

1. As of 6/29/2012. Source: Bloomberg. 

2. 8

th

Annual Global ETF Awards

®

, organized by exchangetradedfunds.com.

Page 2 of 20

iPath

®

Platform

As of 6/29/2012.

Sources: Barclays, Bloomberg

Percent market

share of US ETNs

Asset Classes

76

US Listed iPath ETNs

Billion dollars in total

iPath

®

trading since

launch

$10,000,000,000

Peak Notional Outstanding

(03 / 2011)

iPath

is

a

leading

US

exchange

traded

notes

(ETNs)

platform

with

commodity,

volatility,

equity, FX and rates offerings used by a broad range of clients

5

633

39

5

Page 3 of 20

Institutional

Wealth Management

Retail

•

Efficient access to futures markets

•

Tradable index-linked structured

investment

•

Short-term views /cash management

•

FX, Commodity, Emerging Markets

and Volatility

•

Cost efficient

•

Liquidity and ease of exit

•

Access to hard-to-reach asset classes

•

Easy to use investment

•

Leveraged and inverse exposures

How Can VIX ETNs be Used

as Portfolio Hedges?

Sources:

Bloomberg,

1/30/2009

–

6/29/2012. 

You

should

not

rely

on

historical

information.

Such

historical

information

is

not

indicative

of

future

performance.

For

current

iPath

ETN

performance, please visit www.iPathETN.com

Page 4 of 20

The

iPath

®

S&P

500

VIX

Short-Term

Futures

TM

ETN

(VXX)

and

the

iPath

®

S&P

500

VIX

Mid-Term

Futures

TM

ETN

(VXZ)

have

historically

demonstrated

negative

correlation

with

S&P

500

®

returns

The

negative

correlation

is

convex:

greater

reaction

to

large

decreases

in

the

equity

markets

than

to large increases

Convexity of VXX is larger compared to VXZ, but VXZ has performed better during equity bull

markets

-30%

-20%

-10%

0%

10%

20%

30%

40%

-12%

-8%

-4%

0%

4%

8%

12%

SPY 1 month return

-30%

-20%

-10%

0%

10%

20%

-12%

-8%

-4%

0%

4%

8%

12%

SPY 1 month return

Convexity Can Come

at a Cost

VIX

®

futures term structure can cause a drag on the performance of the ETNs

The market for VIX

®

futures

tends to trade in contango

1

during low volatility periods

VXX tends to suffer a

greater negative roll yield

2

than VXZ as the curve

tends to be steeper at the

front end.

1:

When

the

prices

of

futures

contracts

for

distant

delivery

months

are

higher

than

prices

of

futures

contracts

with

nearer

delivery

months,

the

futures

curve is said to be in “contango”.

2:

In

the

context

of

investment

strategies

in

the

futures

markets,

“roll

yield”

is

commonly

referred

to

describe

the

returns

that

occur

over

and

above

the

changes in the spot returns. See appendix: “Index Roll Yield/Cost”

Page 5 of 20

0

1

2

3

4

5

6

7

Time to Expiration (Months)

Roll between 1M and 2M futures

Roll between 4M and

7M futures

FOR ILLUSTRATIVE PURPOSES ONLY

8

14%

15%

16%

17%

18%

19%

20%

Volatility

term

structure

is

typically

upward

sloping

during

“normal”

times

VXX & VXZ

VXX

Has performed better during high or increasing volatility environments

Daily trading volumes are higher, suggesting a shorter holding period

Higher short interest, suggesting that more investors are both taking long and short positions

VXZ

Has performed better during low volatility environments

Daily trading volumes are lower, suggesting a longer holding period

Lower short interest, suggesting that more investors are long-only

Source: Bloomberg, 1/29/2009 -

6/29/2012.

Disclaimer:

With

short

sales,

in

investor

faces

the

potential

for

unlimited

losses

as

the

security’s

price

rises.

You

should

not

rely

on

historical

information.  Such historical information is not indicative of future performance. For current iPath ETN performance, please visit

www.iPathETN.com

Page 6 of 20

0%

20%

40%

60%

80%

100%

120%

Jan

-09

Jul

-09

Jan

-10

Jul

-10

Jan

-11

Jul

-11

Jan

-12

VXX

VXZ

•

•

•

•

•

•

Can We Do Better?

•

Can we construct a dynamic strategy that provides positive performance during times of

equity volatility that has enhanced features compared to VXZ or VXX?

Begin with a core position of VXZ held in all market circumstances

During “normal”

times of  low or decreasing volatility: target an enhanced performance

via a short position in VXX

During “stressful”

times of high or increasing volatility:  target a high reactivity by

switching to a long position in VXX

How

to

identify

“normal”

and

“stressful

regimes”

?

Page 7 of 20

•

•

•

•

Question:

One potential answer:

The Million Dollar Question:

Term Structure Signal

On

a

hypothetical

historical

basis,

the

shape

of

the

volatility

curve

has

tended

to

be

indicative

of

the

future

returns

on

shorter-dated

VIX

®

futures

Front-month

VIX

®

Futures daily returns have

typically

been

negative

on

average

if

the

volatility

term

structure

was

in

contango

during the period.

As the volatility term structure moved

towards

strong

backwardation,

average

returns

typically

became

positive.

Source:

Bloomberg,

11/12/2007–

6/29/2012.

Individual futures returns are for illustrative purposes only and do not represent actual performance of any Index or ETN. Futures returns do

not reflect the investor fee or any other transaction costs and expenses. Past performance is not indicative of future results. For current ETN

performance go to www.iPathETN.com

Page 8 of 20

-

2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

< 0.90

0.9-1.0

1.0-1.05

1.05-1.15

>1.15

VIX/VXV Ratio

0

10

20

30

40

50

60

70

80

90

Sep-07

Mar-08

Sep-08 

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

Sep-11

Mar-12

0.7

0.8

0.9

1

1.1

1.2

1.3

1.4

1.5

VIX  Index

1month/3month Term Structure Ratio

Strong

Backwardation

Contango

Contango

Backwardation

•

•

Dynamic VIX

70%

-30%

80%

-20%

100%

75%

25%

50%

50%

Short-term

VIX futures

Medium-term

VIX futures

I. Strong

Contango

II. Weak

Contango

III. Weak

Backwardation

IV.

Backwardation

V. Strong

Backwardation

Ratio: <0.9

0.9-1.0

1.0-1.05

1.05-1.15

>1.15

Contango

FOR ILLUSTRATIVE PURPOSES ONLY

The

S&P

500

®

Dynamic

VIX

Futures

TM

Index

investment in volatility

Ratio

of

1-month

/

3-month

Implied

volatilities

(VIX

®

Index

/VXV

®

Index)

S&P

500

®

Dynamic

VIX

Futures

TM

Index

aims

to

have:

reduced “roll cost”

during normal or low volatility regimes (contango)

increased

exposure

to

VIX

®

Index

only

when

volatility

is

at

elevated

levels

(backwardation)*

Page 9 of 20

Backwardation

* There can be no assurance that the index will accurately predict the market volatility over time. As a result, if the index fails to accurately predict trends of

volatility,

it

may

not

be

successful

in

correctly

allocating

between

Short-term

VIX

futures

and

Medium-term

VIX

futures.

See

“Disclaimer”

for

more

information 

Uses the volatility term structure ratio to determine whether to be long or short

is designed to offer efficient exposure via a dynamic

0

50

100

150

200

250

300

350

400

450

500

Dec-05

May-06

Oct-06

Mar-07

Aug-07

Jan

-08

Jun-08

Nov-08

Apr-09

Sep-09

Feb-10

Jul

-10

Dec-10

May-11

Oct-11

Mar-12

S&P 500  Dynamic VIX Futures™

TR Index

S&P 500 VIX Mid-Term Futures™

TR Index

S&P 500 VIX Short-Term Futures™

TR Index

S&P

500

®

TR

Index

Index Performance

Source: Bloomberg 12/20/2005 –

6/29/2012.

The

S&P

500®

VIX

Short-Term

and

Mid-Term

Futures™

Indices

were

launched

in

December

2008,

the

S&P

500®

Dynamic

VIX

Futures™

Index

was

launched in June 2011. The information prior to launch dates included above is hypothetical historical. You should not rely on historical or hypothetical

historical information. Such historical and hypothetical historical information is not indicative of future performance. 

S&P 500  Dynamic

VIX Futures™

TR

Index

S&P 500 VIX Short-

Term Futures™

TR

Index

S&P 500 VIX Mid-

Term Futures™

TR

Index

S&P 500

®

TR

Index

Annualized Returns

25.7%

-34.7%

0.7%

3.4%

Annualized Volatility

25.5%

62.4%

32.6%

24.0%

Correlation

vs.

S&P

500

®

Index

-71.0%

-78.4%

-76.8%

100.0%

Correlation

vs.

VIX

®

Index

62.8%

87.6%

80.3%

-76.5%

Page 10 of 20

Hedging an Equity Portfolio

Hypothetical

portfolios

with

90%/10%

and

85%/15%

allocations

to

S&P

500

®

Total

Return

Index

and

S&P

®

500

Dynamic

VIX

Futures

Index

(“Dynamic

VIX”)

100% S&P 500

®

Index

10% Dynamic VIX,

90%

S&P

500

®

Index

15% Dynamic VIX,

85%

S&P

500

®

Index

Annualized Returns

3.4%

6.4%

7.9%

Annualized Volatility

24.0%

19.2%

17.0%

Returns/Vol Ratio

0.14

0.34

0.46

Max

drawdown

-55.3%

-44.0%

-37.7%

Source:

Bloomberg,

12/20/2005

–

6/29/2012.

1. Max Drawdown represent the maximum percentage decline of an index price between any starting and ending point in time.

Index returns are for illustrative purposes only and do not represent actual ETN performance. Index performance returns do not reflect the

investor fee or any other transaction costs or expenses. Indices

are unmanaged and one cannot invest directly in an Index. Past performance

is not indicative of future results. 

Page 11 of 20

50

75

100

125

150

175

Dec-05

May-06

Oct-06

Mar

-07

Aug-07

Jan-08

Jun

-08

Nov-08

Apr-09

Sep

-09

Feb

-10

Jul

-10

Dec

-10

May

-11

Oct-11

Mar

-12

100% S&P 500

®

TR Index

10% Dynamic VIX, 90% S&P 500

®

TR Index

15% Dynamic VIX, 85% S&P 500

®

TR Index

1

TM

Appendices

Page 12 of 20

Monthly Index Returns

Source: Bloomberg, 12/31/2005–6/29/2012.

The S&P 500

®

VIX Short-Term and Mid-Term Futures    

Indices were launched in December 2008, the S&P 500

®

Dynamic VIX Futures

Index

was

launched

in

June

2011.

The

information

prior

to

launch

dates

included

above

is

hypothetical

historical.

You

should

not

rely

on

historical

or hypothetical historical information. Such historical and hypothetical historical information is not indicative of future performance. 

S&P

500

®

VIX

Short-Term

Futures

TM

Index

S&P

500

®

VIX

Mid-Term

Futures

TM

Index

S&P

500

®

Dynamic

VIX

Futures

TM

Index

Page 13 of 20

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Year

2006

-0.8%

-1.6%

-5.0%

0.4%

11.9%

-2.7%

-2.3%

3.6%

3.7%

-2.5%

-2.3%

2.4%

3.7%

2007

-2.4%

-5.1%

-3.6%

1.0%

3.5%

4.2%

19.2%

6.4%

-7.2%

5.9%

11.6%

1.5%

37.2%

2008

-0.2%

2.1%

-1.6%

-4.8%

4.3%

-0.4%

-5.0%

2.5%

14.5%

77.6%

13.0%

4.6%

132.3%

2009

0.1%

3.2%

1.2%

-2.5%

-8.2%

-0.3%

3.8%

2.6%

-0.3%

0.9%

2.7%

-1.9%

0.7%

2010

-1.7%

-1.5%

3.0%

4.4%

10.8%

2.7%

-3.0%

7.4%

1.7%

-2.2%

0.1%

-1.8%

20.7%

2011

-5.8%

-3.9%

-4.9%

2.2%

-2.2%

-1.2%

-6.0%

38.8%

9.6%

-12.0%

3.6%

-1.8%

8.8%

2012

1.4%

3.0%

-2.1%

-2.2%

2.3%

-0.6%

1.7%

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Year

2006

-5.2%

-4.1%

-8.0%

-0.6%

12.8%

-2.7%

1.7%

-0.3%

2.8%

-12.6%

-3.6%

2.2%

-18.2%

2007

-9.0%

-1.0%

0.5%

-1.3%

3.9%

10.2%

27.4%

3.6%

-9.2%

8.0%

16.0%

0.0%

53.9%

2008

3.6%

5.1%

1.1%

-11.2%

1.0%

4.2%

-3.2%

2.5%

13.3%

44.0%

15.1%

-4.0%

83.9%

2009

1.9%

6.6%

2.6%

-7.2%

-14.6%

-3.5%

0.0%

2.3%

-3.4%

-2.5%

0.9%

-7.8%

-23.6%

2010

-3.6%

-5.2%

-3.8%

7.0%

23.8%

10.5%

-13.3%

8.1%

-5.8%

-14.0%

-0.4%

-10.8%

-13.2%

2011

-12.0%

-3.8%

-1.7%

-6.9%

-2.5%

1.4%

-3.3%

28.8%

16.7%

-16.0%

7.6%

-8.2%

-7.6%

2012

-9.7%

1.3%

-17.4%

-0.8%

13.1%

-12.2%

-25.6%

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Year

2006

-11.0%

-7.8%

-5.8%

-3.6%

28.3%

-8.6%

1.7%

-14.2%

-8.2%

-23.1%

-5.9%

-3.3%

-50.9%

2007

-13.6%

5.8%

7.3%

-9.8%

-2.0%

14.5%

25.3%

20.0%

-15.4%

-1.8%

23.9%

-6.9%

42.9%

2008

7.5%

3.4%

0.6%

-20.2%

-14.1%

14.5%

-2.9%

-7.0%

36.6%

117.3%

16.7%

-17.6%

126.5%

2009

6.6%

5.4%

4.4%

-17.5%

-18.3%

-10.8%

-9.0%

-4.5%

-15.9%

-3.1%

-16.0%

-16.3%

-64.9%

2010

-5.6%

-18.1%

-19.1%

0.4%

38.0%

7.9%

-28.2%

-3.4%

-20.2%

-24.4%

-5.6%

-24.1%

-72.0%

2011

-14.3%

-6.3%

-1.9%

-21.5%

-8.3%

-0.9%

11.6%

66.2%

38.8%

-24.2%

2.0%

-13.9%

-3.7%

2012

-24.8%

-7.9%

-32.6%

-1.1%

28.7%

-29.0%

-57.8%

TM

TM

Index Allocations

Historical target allocation of the S&P 500®

Dynamic VIX Futures™

Index to the S&P 500

®

VIX Short-Term Futures™

Index and the S&P 500

®

VIX Mid-Term Futures™

Index.

50

100

150

200

250

300

350

400

450

500

Dec-05

Jun-06

Dec-06

Jun-07

Dec-07

Jun-08

Dec-08

Jun-09

Dec-09

Jun-10

Dec-10

Jun-11

Dec-11

Jun-12

50% Sht, 50% Mid

25% Sht, 75% Mid

0% Sht, 70% Mid

-20% Sht, 80% Mid

-30% Sht, 70% Mid

.

Dynamic VIX Index

S&P 500 Index

Target Allocations*:

Indices:

Page 14 of 20

Source:

Bloomberg,

12/20/2005

–

6/29/2012.

*Target allocations are calculated from the Ratio of 1-month / 3-month Implied volatilities (VIX®

Index /VXV®

Index). Effective allocations are derived

from the target allocation, by constraining a maximum change of 12.5% from the previous day, for  each of the two indices separately.

The

S&P

500

®

VIX

Short-Term

and

Mid

-Term

Futures™

Indices

were

launched

in

December

2008,

the

S&P

500

®

Dynamic

VIX

Futures™

Index

was

launched

in

June

2011.

The

information

prior

to

launch

dates

included

above

is

hypothetical

historical.

You

should

not

rely

on

historical

or hypothetical historical information.  Such historical and hypothetical historical information is not indicative of future performance.

Index Roll Cost/Yield

Roll cost or yield

is an important component of volatility index returns and will depend on the shape of

the futures curve, i.e., backwardated (downward sloping) or contango (upward sloping)

Assuming

the

price

and

shape

of

the

futures

curve

remain

constant

and

a

long

position

in

a

futures

contract is rolled:

In contango, a cheaper contract will be sold and a more expensive contract purchased, creating a

negative “roll cost”,

which can negatively impact a long position in a futures contract

In backwardation, a more expensive contract will be sold and a cheaper contract purchased, creating a

positive “roll yield”,

which can positively impact a long position in a futures contract

Price

Time to expiry

Contango

Price

Time to expiry

Backwardation

FOR ILLUSTRATIVE PURPOSES ONLY

Page 15 of 20

VIX

®

Futures Can Be Costly

VIX

®

futures contracts have traded in contango for most of the time since their launch in

2005, creating negative “roll cost”

for VXX and VXZ

Contango has been steeper for short-term futures: greater roll cost for VXX

XVZ’s

roll

yield

determined

by

its

allocation

to

VIX

Short

and

Mid-term

Futures™

Indices

* Source:

Bloomberg,

1/29/2009

–

6/29/2012.

Roll

yield

estimated

using

the

slope

of

the

VIX

futures

curve,

weighted

according

to

index

weightings,

Disclaimer: Index returns are for illustrative purposes only and do not represent actual ETN performance. Index performance returns do not

reflect the investor fee or any other transaction costs or expenses. Indices are unmanaged and one cannot invest directly in an Index. Past

performance is not indicative of future results. For current Index and ETN performance, go to www.iPathetn.com

Page 16 of 20

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Jan-09

Jul-09

Jan-10

Jul-10

Jan-11

Jul-11

Jan-12

Estimated Monthly Roll Yield/Cost*

S&P 500 VIX Mid-Term Futures™

TR Index

S&P 500  Dynamic VIX Futures™

TR Index

S&P 500 VIX Short-Term Futures™

TR Index

iPath Resources

Sales Contacts

iPath general enquiries

Barclays iPath

RIA Coverage team

Insurance Coverage team

Private Bank / Wealth team

Bloomberg 

XVZ product page

XVZ <Equity> DES <Go>

Intraday Ind. Value

XVZIV <Index> <Go>

Underlying Index

SPDVIXTR <Index> <Go>

VIX Futures

VIX <Index> CCRV <Go>

Additional

Contacts

ETN / ETF Trading

Equities Structuring

Press Office

Investor Relations

1-877-764-7284

1-212-528-7990

1-212-528-4930

1-212-528-8021

1-212-528-6248

1-212-526-8979

1-212-528-1126

1-212-412-7545

+44 (0)20 7773 2269

Online

iPath website

www.ipathetn.com

XVZ Product page

http://ipathetn.com/product/XVZ

iPath

®

Volatility ETNs

http://www.ipathetn.com/static/pdf/volatility_etns.pdf

Basics of VIX ETNs

http://www.ipathetn.com/us/downloads/pdf/VIX-basics.pdf

Page 17 of 20

Glossary of Terms

Tail

Risk

Hedging:

Investment

positions

created

to

limit

losses

that

would

occur

in

case

of

extreme downward market moves. The technical definition of tail risk is a portfolio value

move of at least three standard deviations from the mean return.

VXX:

VXZ:

SPY:

SPDR

S&P

500

ETF

Trust

Short

term

VIX

®

futures:

The

S&P

500

VIX

Short-Term

Futures

Index

ER

Mid-term

VIX

®

futures:

The

S&P

500

VIX

Mid-Term

Futures

Index

ER

The VIX

®

Index:

forward

looking

1-month

volatility

of

the

S&P

500

®

Index

The VXV

®

Index:

expectations

for

forward

looking

3-month

volatility

of

the

S&P

500

®

Index

Implied Volatility Term Structure:

Page 18 of 20

The ratio between the VIX

®

Index and the VXV

®

Index

The CBOE S&P

®

500 3-Month Volatility Index, a measure of market

The CBOE Volatility Index

®

, a measure of the market expectations for the

The iPath

®

S&P 500 VIX Short-Term Futures

ETN

The iPath

®

S&P 500 VIX Mid-Term Futures

ETN

TM

TM

TM

TM

Selected Risk

Considerations

Page 19 of 20

An investment in the iPath ETNs described herein (the “ETNs”) involves risks. Selected risks are summarized here, but we urge you to read

the

more

detailed

explanation

of

risks

described

under

“Risk

Factors”

in

the

applicable

prospectus

supplement

and

pricing

supplement.

Issuer

Redemption

If

specified

in

the

applicable

prospectus,

Barclays

Bank

PLC

will

have

the

right

to

redeem

or

“call”

a

series

of

ETNs

(in whole but not in part) at its sole discretion and without your consent on any trading day on or after the inception date until and including

maturity.

The

Performance

of

the

Underlying

Index

is

Unpredictable

An

investment

in

the

ETNs

is

subject

to

risks

associated

with

fluctuations,

particularly

a

decline,

in

the performance

of

the

underlying

index.

Because

the

performance

of

such

index

is

linked

to

futures

contracts

on

the

CBOE

®

Volatility

Index

(the

“VIX

Index”),

the

performance

of

the

underlying

index

will

depend

on

many

factors

including,

the

level

of

the

S&P

500

®

Index,

the

prices

of

options

on

the

S&P

500

®

Index,

and

the

level of the VIX Index which may change unpredictably, affecting

the value of futures contracts on the VIX Index and, consequently, the level of the underlying

index. Additional factors that may contribute to fluctuations in

the level of such index include prevailing market prices and forward volatility levels of the U.S. stock

markets

and

the

equity

securities

included

in

the

S&P

500

®

Index,

the

prevailing

market

prices

of

options

on

the

VIX

Index,

relevant

futures

contracts

on

the

VIX

Index, or any other

financial

instruments

related

to

the

S&P

500

®

Index

and

the

VIX

Index,

interest

rates,

supply

and

demand

in

the

listed

and

over-the-

counter

equity

derivative markets as well as hedging activities in the equity-linked structured product markets.

Dynamic

Allocation

of

Underlying

Index

The

value

of

the

underlying

index

will

depend

upon

the

success

of

such

index

in

dynamically

allocating

between

the short-term and mid-term volatility futures components.  The allocation of such index is based on implied volatility measurements that may not effectively

predict trends in future volatility, and is made in accordance with pre-defined weightings that may not be optimal.  Additionally, such index may allocate to short

as well as long positions in the index components and is not guaranteed to react positively to increased levels of market volatility.

Credit of Barclays Bank PLC

The ETNs are unsecured debt obligations of the issuer, Barclays Bank PLC, and are not, either directly or indirectly, an

obligation

of

or

guaranteed

by

any

third

party.

Any

payment

to

be

made

on

the

ETNs,

including

any

payment

at

maturity

or

upon

redemption,

depends

on

the

ability of Barclays Bank PLC to satisfy its obligations as they come due.  As a result, the actual and perceived creditworthiness of Barclays Bank PLC will affect

the market value, if any, of the ETNs prior to maturity or redemption.  In addition, 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 ETNs.

You May Lose Some or All of Your Principal

The ETNs are exposed to any change in the level of the underlying index between the inception date and the

applicable valuation date.  Additionally, if the level of the underlying index is insufficient to offset the negative effect of the investor fee and other applicable

costs, you will lose some or all of your investment at maturity or upon redemption, even if the value of such index has increased or decreased, as the case may

be.

Because

the

ETNs

are

subject

to

an

investor

fee

and

any

other

applicable

costs,

the

return

on

the

ETNs

will

always

be

lower

than

the

total

return

on

a

direct investment in the index components.

The ETNs are riskier than ordinary unsecured debt securities and have no principal protection.

:

:

:

:

:

Selected Risk Considerations (cont’d)

Market and Volatility Risk:

NOT

FDIC

INSURED

·

NO

BANK

GUARANTEE

·

MAY

LOSE

VALUE

Page 20 of 20

The market value of the ETNs may be influenced by many unpredictable factors and may fluctuate between the date you

purchase them and the maturity date or redemption date. You may also sustain a significant loss if you sell your ETNs in the secondary market.  Factors that

may influence the market value of the ETNs include prevailing market prices of the U.S. stock markets, the index components included in the underlying index,

and prevailing market prices of options on such index or any other financial instruments related to such index; and supply and demand for the ETNs, including

economic, financial, political, regulatory, geographical or judicial events that affect the level of such index or other financial instruments related to such index.

A Trading Market for the ETNs May Not Develop

Although the ETNs are listed on NYSE Arca, a trading market for the ETNs may not develop and the liquidity

of the ETNs may be limited, as we are not required to maintain any listing of the ETNs.

No

Interest

Payments

from

the

ETNs

Restrictions

on

the

Minimum

Number

of

ETNs

and

Date

Restrictions

for

Redemptions

Uncertain

Tax

Treatment

Significant aspects of the tax treatment of the ETNs are uncertain.  You should consult your own tax advisor about your own tax 

situation.

Barclays Bank PLC has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates.  Before you

invest, you should read the prospectus and other documents Barclays Bank PLC has filed with the SEC for more complete information about the issuer and

this offering.  You may get these documents for free by visiting www.iPathETN.com or EDGAR on the SEC website at www.sec.gov.  Alternatively, Barclays

Bank PLC will arrange for Barclays Capital Inc. to send you the prospectus if you request it by calling toll-free 1-877-764-7284, or you may request a copy

from any other dealer participating in the offering.

The ETNs may be sold throughout the day on the exchange through any brokerage account. Commissions may apply and there are tax consequences in the event of

sale, redemption or maturity of ETNs.

You may not receive any interest payments on the ETNs.

:

:

:

© 2012 Barclays Bank PLC. All rights reserved. iPath, iPath ETNs and the iPath logo are registered trademarks of Barclays Bank PLC. All other trademarks,

servicemarks or registered trademarks are the property, and used with the permission, of their respective owners.

You must redeem at least 25,000 or 50,000 (depending on the series)

ETNs of the same series at one time in order to exercise your right to redeem your ETNs on any redemption date.  You may only redeem your ETNs on a redemption

date if we receive a notice of redemption from you by certain dates and times as set forth in the pricing supplement.

:

BlackRock Investments, LLC. assists in the promotion of the iPath ETNs.

“Standard & Poor’s

®

”, “S&P

®

”, “S&P 500

®

”, “Standard & Poor’s 500™”, “S&P 500 VIX Short-Term Futures™”, “S&P 500 VIX Mid-Term Futures™” and “S&P 500

®

Dynamic VIX Futures™” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and have been licensed for use by Barclays Bank PLC. “VIX” is a

registered trademark of the Chicago Board Options Exchange, Incorporated (“CBOE”) and has been licensed for use by S&P.  The ETNs are not sponsored, endorsed,

sold or promoted by S&P or the CBOE.  S&P and CBOE make no representation, condition or warranty, express or implied, to the owners of the ETNs or any member of

the public regarding the advisability of investing in securities generally or in the ETNs or in the ability of either index to track market performance.