JO iPath Series B Bloomberg Coffee Subindex TR ETN

SELECTED RISK FACTORS

An investment in the Notes involves significant risks. 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.

·                   Issuer Credit Risk — The Notes are our senior unsecured debt securities. As a result, your receipt of each payment of interest and the principal amount at maturity or upon Early Redemption is dependent on our ability to pay our obligations on the applicable Interest Payment Date and the Maturity Date (or the Early Redemption Date, if applicable). No assurance can be given as to what our financial condition will be on any payment date. If we default upon our financial obligations, you may not receive any payments due on the Notes.

·                   Early Redemption Risk — It is possible that we will call the Notes prior to the Maturity Date. If you intend to purchase the Notes, you must be willing to have the Notes redeemed as early as the first Early Redemption Date set forth on the cover page.  We are generally more likely to elect to redeem the Notes during periods when the remaining interest to be accrued is to accrue at a rate that is greater than that which we would pay on our conventional interest-bearing debt securities having a maturity equal to the remaining term of the Notes. If the Notes are redeemed prior to their Maturity Date, you may be subject to reinvestment rate risk whereby it is likely that you will be unable to invest in securities with similar risk and yield as the Notes.  Your ability to realize the higher rates of interest provided on the cover page of this pricing supplement is limited by our right to call the Notes prior to the Maturity Date .

·                   Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity — Subject to our credit risk, you will not receive less than the principal amount of the Notes if you hold the Notes to maturity; however, the Issue Price of the Notes includes the underwriter’s commission and the cost of hedging our obligations under the Notes.  As a result, assuming no change in market conditions or any other relevant factors, the price, if any, at which we, MLPF&S or our respective affiliates will be willing to purchase Notes from you in secondary market transactions is expected to be lower than the Issue Price, and any sale prior to the Maturity Date could result in a substantial loss to you.  This is due to, among other things, the inclusion of these costs, as described in “Supplemental Plan of Distribution” on page PS-1 below, and the costs of unwinding any related hedging.

The quoted price of we, or MLPF&S or any of our respective affiliates for the Notes could be higher or lower than the price that you paid for them.

·                   Potential Conflicts — We and our affiliates, as well as MLPF&S or its affiliates, play a variety of roles in connection with the issuance of the Notes, and may engage in trading activities to hedge our obligations under the Notes.  In performing these roles, the economic interests of we and our affiliates and those of MLPF&S or its affiliates are potentially adverse to your interests as an investor in the Notes. These trading and hedging activities are expected to result in a profit to those engaging in it, which could be more or less than initially expected.

·                   Lack of Liquidity — The Notes will not be listed on any securities exchange.  MLPF&S, Barclays Capital Inc. and their respective affiliates may 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.  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 MLPF&S, Barclays Capital Inc. or their respective affiliates 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.

In addition, any secondary market prices may differ from values determined by pricing models used by MLPF&S, Barclays Capital Inc. or their respective affiliates as a result of underwriter discounts, mark-ups or other transaction costs. Moreover, this hedging activity may result in MLPF&S, Barclays Capital Inc. or their respective affiliates realizing a profit, even if the market value of the Notes declines.

·                   Many Economic and Market Factors Will Impact the Value of the Notes — 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:

o                  the time to maturity of the Notes;

o                  our right to redeem the Notes;

o                  interest and yield rates in the market generally;

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

o                  our financial condition and creditworthiness, including actual or anticipated downgrades in our credit ratings.

PS-1

UNITED STATES FEDERAL INCOME TAX TREATMENT

The following discussion supplements the discussion in the prospectus supplement under the heading “Certain U.S. Federal Income Tax Considerations” and supersedes it to the extent inconsistent therewith.  The following discussion (in conjunction with the discussion in the prospectus supplement) summarizes certain of the material U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of the Notes.

We intend to treat the Notes as indebtedness for U.S. federal income tax purposes and any reports to the Internal Revenue Service (the “IRS”) and U.S. holders will be consistent with such treatment, and each holder will agree to treat the Notes as indebtedness for U.S. federal income tax purposes.  The discussion that follows is based on this approach.

We intend to take the position that we are deemed to exercise the call option prior to the first interest rate step-up (solely for purposes of determining whether the Notes are issued with “original issue discount” for federal income tax purposes) and, if we do not exercise the call option at such time, the Notes will be deemed to be reissued (solely for purposes of the original issue discount rules) at such time and immediately before each subsequent interest rate step-up for their adjusted issue price.  Accordingly, we intend to take the position that the Notes will not be issued with original issue discount for federal income tax purposes and that interest on the Notes will be taxable to a U.S. holder as ordinary interest income at the time it accrues or is received in accordance with the U.S. holder’s normal method of accounting for tax purposes.  See “Certain U.S. Federal Income Tax Considerations—U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes—Notes Subject to Call or Put Options” in the prospectus supplement.

3.8% Medicare Tax On “Net Investment Income”

U.S. holders that are individuals, estates, and certain trusts are subject to an additional 3.8% tax on all or a portion of their “net investment income,” which may include the interest payments and any gain realized with respect to the Notes, to the extent of their net investment income that, when added to their other modified adjusted gross income, exceeds $200,000 for an unmarried individual, $250,000 for a married taxpayer filing a joint return (or a surviving spouse), or $125,000 for a married individual filing a separate return.  U.S. holders should consult their advisors with respect to the 3.8% Medicare tax.

Information Reporting

Holders that are individuals (and, to the extent provided in future regulations, entities) may be required to disclose information about their Notes on IRS Form 8938—“Statement of Specified Foreign Financial Assets” if the aggregate value of their Notes and their other “specified foreign financial assets” exceeds $50,000.  Significant penalties can apply if a holder fails to disclose its specified foreign financial assets.  We urge you to consult your tax advisor with respect to this and other reporting obligations with respect to your Notes.

Non-U.S. Holders

Barclays currently does not withhold on interest payments 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 such payments at a 30% rate, unless non-U.S. holders have provided 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 Considerations—Information Reporting and Backup Withholding” in the accompanying prospectus supplement.

CERTAIN EMPLOYEE RETIREMENT INCOME SECURITY ACT CONSIDERATIONS

Your purchase of a Note in an Individual Retirement Account (an “IRA”), will be deemed to be a representation and warranty by you, as a fiduciary of the IRA and also on behalf of the IRA, that (i) neither the issuer, the placement agent nor any of their respective affiliates has or exercises any discretionary authority or control or acts in a fiduciary capacity with respect to the IRA assets used to purchase the Note or renders investment advice (within the meaning of Section 3(21)(A)(ii) of the Employee Retirement Income Security Act (“ERISA”)) with respect to any such IRA assets and (ii) in connection with the purchase of the Note, the IRA will pay no more than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA) and in connection with any redemption of the Note pursuant to its terms will receive at least adequate consideration, and, in making the foregoing representations and warranties, you have (x) applied sound business principles in determining whether fair market value will be paid, and (y) made such determination acting in good faith.

For additional ERISA considerations, see “Employee Retirement Income Security Act” in the prospectus supplement.

PS-2