INDEX, PORTFOLIO AND RISK SOLUTIONS

February 2011

BARCLAYS CAPITAL INDICES
BRINGING CLARITY TO THE INVESTMENT PROCESS

BARCLAYS CAPITAL INDICES

Contents
Index, Portfolio and Risk Solutions Barclays Capital Benchmark Indices Overview of Flagship Benchmark Indices Barclays Capital Investable Indices Overview of Flagship Investable Indices Overview of Barclays Capital POINT® Quick reference for featured Benchmark Indices Quick reference for featured Investable Indices Contacts 1 7 16 37 47 110 115 116 Inside Back Cover

Barclays Capital Index, Portfolio and Risk Solutions (IPRS) is a leading provider of indices and portfolio analytics. Our capabilities span benchmark and investable indices, portfolio analytics, risk and attribution models, and portfolio construction tools.

Barclays Capital Research Index, Portfolio and Risk Solutions (IPRS) Benchmark & Investable Indices Portfolio Modeling & POINT®

Credit Magazine Americas Awards

Credit Magazine European Awards

All-America Fixed Income Research Poll

Best Index Provider
for the second consecutive yea

Best Index Provider
for the second consecutive year

#1 Bond Market Indexes
for 14 consecutive years

November 2010

July 2010

September 2010

INDEX, PORTFOLIO AND RISK SOLUTIONS

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BARCLAYS CAPITAL INDICES

Barclays Capital IPRS Products & Services
BENCHMARK INDEX SOLUTIONS
• • • • Market Leading Fixed Income and Inflation Indices Liquid Benchmark Development Benchmark Index Pricing and Valuations Customized Benchmark Solutions

PORTFOLIO & INDEX ANALYSIS TOOLS (POINT)
• POINT platform for Multi-Asset Portfolio and Index Analysis • Desktop portal for delivering Barclays Capital valuation models and research content • Security Level Index Returns and Advanced Analytics

INVESTABLE INDEX PRODUCTS & SOLUTIONS
• Index Sponsorship and Calculation of Rules-based Index Products • Index Replication Strategies • Risk Access Indices/Enhanced Beta/ Alternative Beta Indices • Efficient access to established investment strategies • Alpha Generating Strategy Indices • Custom Investable Index Strategies & Solutions

INDEX USERS Asset Managers Insurance Companies Pension Funds/Plan Sponsors Commercial Banks/Trust Banks Central Banks Sovereign Wealth Funds Hedge Funds ETF Providers Investment Consultants Private Wealth/Retail Investors

PORTFOLIO PERFORMANCE & RISK
• Multi-Asset Portfolio Performance Attribution • Security Level Risk Analytics and Valuations • Tracking Error Estimation & Breakdown • Portfolio and Index Tail Risk Estimation

INDEX SPONSOR FOR INDEXLINKED PRODUCTS
• • • • • • • Exchange Traded Funds ETNs Structured Notes Index Linked Options Total Return Swaps Index Rebalancing Trades Index Linked Futures Contracts

PORTFOLIO STRUCTURING SOLUTIONS RESEARCH & ADVISORY
• Benchmark Selection • Original research on investment strategies • Client Portfolio Analysis & Advisory Services • Research Publications & Topical Studies • Portfolio vs. Index Structural Comparisons & Analysis • Flexible Benchmark Replication • Portfolio Optimization with Constraints • FX Hedging & Overlays • Optimal Hedge Construction

INDEX, PORTFOLIO AND RISK SOLUTIONS

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BARCLAYS CAPITAL INDICES

What is an index? An index acts as a bridge connecting the demands of an investor with the capabilities of a manager

Investor

INDEX

Market Access

Investment goal Constraints

Rules-based Transparency

Trading expertise Risk management

INDEX, PORTFOLIO AND RISK SOLUTIONS

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BARCLAYS CAPITAL INDICES

The New Frontier of Index Products: From Beta to Alpha
• •

Index products have evolved beyond traditional benchmarks of broad market performance. Investors now use indices to efficiently measure, isolate, and gain access to beta, enhanced beta, and alpha through rigorous and transparent rules-based index products.

Broad Market Benchmark Indices

Access Products for markets without liquid benchmarks

Common investment strategies with established performance patterns

β
Beta Replication Products Alternative Beta

α
Active strategies with attractive risk/return

INDEX, PORTFOLIO AND RISK SOLUTIONS

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S. Issuer-Constrained Indices 2003 U. Global Treasury (1987). Private Placement 1997 Inflation-Linked. Corporate High-Yield (1983).6trn+. Floating-Rate Note.S. Canadian Aggregate. CDX/iTraxx Total Returns 2008 Benchmark Indices rebranded as Barclays Capital 2009 GDP-Weighted Indices. Euro High Yield. Asset Backed Securities 1993 U. Float- α Active strategies with attractive risk/return adjusted Indices. U. Floating-Rate ABS. Danish MBS.000 securities. 144A Investment-Grade Corporate. Euro-Government 1999 U. Swaps (1992).S.S. Hybrid Adjustable-Rate Mortgage 2006 U.S. 35 local currency debt markets with more than 40. Universal (1990). U. Euro.S. Aggregate • Sterling Aggregate • Euro Aggregate • Asia Pacific Aggregate Inflation-Linked • World Govt • US TIPS • EM Govt High Yield • Global HY • Pan-Euro HY • US HY Emerging Markets • Hard Currency EM • Local Currency EM Universal (IG + HY) • Multiverse/Global • US Universal • Inflation Linked Floating-Rate Note • IG Corp • HY Corp • ABS (USD/EUR/GBP) Municipals Global Treasury/Govt CMBS. U.S. U.S. CMBS 2.S. 2011 Asia Convertibles. Aggregate Float Adjusted Indices. Government. Euro Floating-Rate Note 2004 China Aggregate. Global Securitized (2000).Inflation-Linked Swaps 2007 EM Inflation-linked. Corporate 1979 U. Aggregate (1976). EMEA Convertibles. Convertible Bond. ABS Convertibles HY Loans Nominal & Inflation Swaps Liquid Benchmarks Float Adjusted Indices GDP Weighted Indices Timeline: Major Index Launches 1973 U. Euro Floating-Rate ABS 2005 U. Global Emerging Markets 2002 Pan-Euro Universal (2001). US CMBS 1998 Euro Aggregate. U. Government/Credit) (history to 1973) 1980 Municipal Bond Index 1986 U. $32.BARCLAYS CAPITAL INDICES Overview of Barclays Capital Benchmark Indices A Full Spectrum of Indices Benchmark Product Coverage Aggregate (Broad market IG) • Global Aggregate • U. 1992 U. Eurobond (1987). & Yen Swaps (1999). Government/Corporate (since renamed U. Emerging Markets 1996 U. Sterling.S. Global High Yield 2000 Asian-Pacific Aggregate 2001 Multiverse. High-Yield Floating-Rate Note .S. U. 2010 Local EM. Tradable EM.S.S.S. PORTFOLIO AND RISK SOLUTIONS 5 . Sterling Aggregate 100. High-Yield Loan. Pan-Euro Emerging Markets.S. Global Capital Securities (2000). Mortgage Backed Securities (1976). 79 countries. Pan-Euro ABS.0 β Broad Market Fixed Income and Inflation Benchmarks Beta replication Enhanced access to established beta Alternative Beta Common investment strategies with established performance patterns Product coverage: More than 70. Indices Sterling FRN.S. U. Global Convertibles. Global Credit. Alternative Weight Indices.S. Bespoke Client Indices • Index Replication and Portfolio Rebalancing • Portfolio Risk and Performance Analysis: Hedging Strategies and Optimization INDEX. Global Aggregate (1990).S. Pan-European Aggregate.000 indices published daily Customized Index Solutions/Advisory Services • Benchmark Selection and Design • Index Customization: Liability-driven Indices.S.

robustness.Compliance boundaries • Rules-based tradable indices • Clients: ranging from retail to the largest institutions • Reputation for transparency. and research • Tailored/custom investment strategies Enhanced access to established beta Comprehensive Coverage Asset classes Commodities Credit Equities Emerging Markets Foreign Exchange Rates/Inflation β Broad market fixed income and inflation benchmarks Beta replication Alternative Beta Extensive Resources • Centralized across all asset classes Common Investment strategies Fundamental Enhanced Carry Trend Following Relative Value Momentum Macro Thematic Common investment strategies with established performance patterns • Extensive experience in tradable investment strategies • Access to top-tier trading and market knowledge • Long history of indexing and portfolio modeling • Market leading research capabilities in equities and fixed income α Active strategies with attractive risk/return INDEX. PORTFOLIO AND RISK SOLUTIONS 6 .BARCLAYS CAPITAL INDICES Barclays Capital Suite of Investable Indices A Full Spectrum of Indices Barclays Capital Index Products • Separate index sponsor .

BARCLAYS CAPITAL INDICES Barclays Capital Benchmark Indices BENCHMARK INDICES 7 .

investment grade and high yield bonds. Global investors evaluate performance against our benchmarks and use index data to measure broad-market and sector-specific returns and risk characteristics and track security-level pricing data and analytics on more than 70. and Singapore Broad Product Coverage and History of Innovation • Broad coverage of indices spanning global and local debt markets. Tokyo.000 index-eligible securities. London. The Benchmark for Fixed Income & Inflation Investors • Experience & Track Record: Publishing total return bond market indices since 1973 • Market Share Leaders: Over $5trn in assets benchmarked against Barclays Capital Indices globally • Awards and Recognitions: Voted No. • The IPRS team offers comprehensive portfolio management solutions for each step of the active/passive portfolio management process for a broad array of investor types. • Dedicated teams in New York. commitment.and floating-rate debt.1 Bond Market Index provider in the US and Europe by Institutional Investor Index and Portfolio Solutions at Each Step of the Portfolio Management Process • Skilled portfolio management extends well beyond benchmark selection and analysis. Users of Barclays Capital benchmark indices benefit from the expertise. nominal and inflation-linked securities. and the taxable and tax-exempt markets. fixed. and full product/service offering of the Index. Portfolio. • Ongoing development of new benchmark index products and customization options for our index users Investment Professionals Using Barclays Capital Benchmark Indices • Portfolio Managers • Investment Officers • Asset Allocators • Performance Analysts • Risk Managers • Research Analysts • Trading • Marketing & Sales • Investor Relations • Investment Consultants • Structuring • Pricing Analysts • Operations & Market Data Robust and Objective Index Methodology • Transparent rules allow index users to fully understand the criteria for index eligibility and determine and expect what comprises each benchmark BENCHMARK INDICES 8 . and Risk Solutions group of Barclays Capital.BARCLAYS CAPITAL INDICES Why investors use Barclays Capital Benchmark Indices Barclays Capital Indices are an integral part of the active and passive global portfolio management process.

a security must meet all published eligibility criteria. This offers intra-month stability in index composition while still reflecting structural changes in the investment universe in a timely manner. • If a security meets inclusion rules at the start of the month. which include: • Price Return: Capital appreciation/depreciation derived from underlying security bond price changes • Coupon Return: Returns derived from the interest payments accrued and/or received during the return period • Paydown Return: Returns related to scheduled and unscheduled payments of principal • Currency Return: Returns (hedged or unhedged) derived from converting local currency security returns to a different base reporting currency Market Value Weighting • Published returns and statistics are market value weighted.BARCLAYS CAPITAL INDICES Overview of Benchmark Index Methodology and Construction General Principles and Index Conventions Rules Based Barclays Capital Indices are designed to be robust and objective in their measurement of bond market performance. it will stay in the index until month-end (when index is next reset). Mechanics of Monthly Benchmark Index Rebalancing Returns Universe • Static Universe set at beginning of month that remains fixed until next index rebalancing date • Used to report index performance • Monthly rebalance avoids having to hit moving target Statistics Universe Backward Returns Universe • Dynamic Universe changes daily • Includes bonds that have been newly issued during the month or upgraded • Used to forecast next month’s returns universe • Statistics universe as of the next index rebalancing date becomes next month’s returns universe 9 Projected Universe Forward BENCHMARK INDICES . Barclays Capital offers many index options using alternative weighting schemes • To be index eligible. • Robust index governance procedures are in place to periodically review index rules and eligibility criteria. Monthly Rebalancing • Indices are rebalanced on a monthly basis. This allows index users not only to understand their benchmark’s current composition. Total Return Calculations Barclays Capital Bond Indices measure index and security level total returns. • While market value weighting is standard. • This ensures that the index is representative of the investable universe and transparent to index users. designed to measure the relative weights of outstanding securities in the investment choice set. but also to expect index composition changes based on market dynamics and issuance patterns.

Caa and Below 1% Issuer Capped US HY 1. back-testing. Major types of custom indices include: Custom Index Category Enhanced Constraint Indices Composite Indices • Description Applies a more or less stringent set of constraints to an existing index Investors assign their own weights to sectors or other index subcomponents within an overall index These indices can be created to match an investor’s targeted portfolio allocation Indices that cap issuer exposure to a fixed percentage These indices often mirror issuer concentration limits in an investors portfolio guideline Many different options exist for applying issuer caps and redistributing excess market value to other issuers Indices that choose largest and most recently issued bonds from a given issuer Indices designed to match a specific investor’s liability stream or future cash flow obligations Often built using swaps indices or strips Indices that use other rules-based weighting schemes instead of market value weights • • • • Examples US Aggregate Ex Baa Global High Yield Ex Tobacco Ex Gaming 50% US Treasury. methodology.BARCLAYS CAPITAL INDICES Index Customization Barclays Capital recognizes that no single benchmark design is universal or appropriate for all investors. Single-B 2% Issuer capped. The IPRS team works with clients in the design.5% Issuer Capped Ex Financials US HY VLI Index An index of zero coupon nominal swaps with weights matching the cash flows of a specific liability stream Global Treasury GDP Weighted Index • • Very Liquid Indices Liability Driven Indices • • • • • Alternative Weight Indices Source: Barclays Capital • • BENCHMARK INDICES 10 . and documentation of bespoke benchmark indices for their portfolios with rapid turnaround time. 25% MBS 25% Corporates 50% Pan Euro Agg 50% Asia Pac Agg • • Issuer-Constrained Indices • • • Pan Euro HY: BB 3% issuer capped. Barclays Capital publishes several thousand bespoke indices daily. selection. Our goal is to offer a broad and evolving suite of index products from which investors are able to select or customize the most appropriate benchmark for their portfolio needs.

and Risk Solutions (IPRS) team offers tools and advisory services for clients seeking to passively replicate fixed income benchmarks with cash bonds and/ or isolate fixed income beta through other strategies and products.e. There are various index replication techniques. this can be mitigated by ISDA/CSA agreements Limited beta choices Leverage Counterparty risk Potential for large tracking error over short periods Alternative Beta Total Return Swaps • • • No tracking error to the underlying index Low maintenance.. depending on replication technique used Counterparty risk if ETF uses swap based index replication Source: Barclays Capital BENCHMARK INDICES 11 .BARCLAYS CAPITAL INDICES Replicating Returns of Fixed Income Indices The Spectrum of Index Products IPRS Services for Index Replication The Barclays Capital Index. transparent Low maintenance Good tracking with underlying index over time Provides unfunded exposure. leaving cash available for other purposes.g. so it may be repackaged in new innovative ways (i. for alpha strategies Flexible. e. Barclays Capital also licenses its indices to third parties for use in index replication products such as ETFs. Portfolio.g. for alpha strategies Improved liquidity relative to mutual funds Low maintenance Transparent holdings when ETF uses cash replication • • • • • Common investment strategies with established performance patterns Derivatives Replication with an RBITM Swap • • • • α Active strategies with attractive risk/return Exchange Traded Products (ETFs/ETNs) • • • • • Potential for tracking error. however. Some of the more common strategies/products include: Strategy Cash Bond Portfolio • β Broad market fixed income and inflation benchmarks Beta Replication Enhanced access to established beta Pros Low tracking error • • • Cons Uses cash Regular rebalancing Requires market knowledge Counterparty risk.. portable alpha strategies). flexibility Provides unfunded exposure. leaving cash available for other purposes.. each with their own advantages and limitations. e.

credit quality. research. and currency. risk management. maturity. analytic tools. issuer. The IPRS website on Barclays Capital Live (keyword: indices) offers: Index Constituents • • • • • • Index Returns and Statistics in multiple base currencies on most published indices with point-in-time history and daily data available back to index inception Time Series data exportable to Excel Returns Calculator that calculates index returns over any time horizon Index Research and Publications Index Constituents (premium access required) Market Structure Reports that segment standard indices by attributes such as sector. duration. Benchmark Index Map Index Charts Index Time Series Source: Barclays Capital Live BENCHMARK INDICES 12 .BARCLAYS CAPITAL INDICES Accessing Index Data Using Barclays Capital Live Barclays Capital Live is a web-based portal for clients to access index data. trading. and reporting systems through a single site.

Time series returns on a selection of indices are available.barcap.com/indices Daily Benchmark Returns BENCHMARK INDICES 13 .BARCLAYS CAPITAL INDICES The Barclays Capital Index Website The public Barclays Capital Index website is another useful source of index returns. new announcements. as well as a daily snapshot of benchmark index returns Fact sheets for major index families www. descriptions. and fact sheets. documentation.

Sample Index Ticker on Bloomberg (US Aggregate) Source: Bloomberg Source: Bloomberg Source: Bloomberg BENCHMARK INDICES 14 . Contact Barclays Capital for a list of providers. and many other data service platforms. • Data can also be sent directly to index users on a BCIX or LEHM <GO> daily basis via email and automated FTP. Reuters.BARCLAYS CAPITAL INDICES Access to Barclays Capital Index Data Via Third-party Providers • Daily external published index values on Bloomberg. • Index data at the bond level are also available via the Barclays Capital POINT system and a number of thirdparty portfolio analytical systems.

Portfolio versus Benchmark Analysis Market Structure Reporting Source: Barclays Capital Index Dynamics & Turnover Analysis Source: Barclays Capital Source: Barclays Capital BENCHMARK INDICES 15 . issuer capped. composites) and backtesting For more information on POINT. and analyze Barclays Capital Indices: • Portfolio versus benchmark analysis • Historical index constituents • Flexible and historical market structure reporting • Index dynamics and turnover analysis • Custom index creation (rules modification. see the POINT overview in the final section of this guide.BARCLAYS CAPITAL INDICES Index Analysis in POINT POINT is the most robust and flexible platform to access. navigate.

BARCLAYS CAPITAL INDICES Overview of Flagship Benchmark Indices BENCHMARK INDICES 16 .

6% Other 4. and 144A (USD 300mn) index-eligible securities not already in the three regional aggregate indices.0% 0. Index • The Global Aggregate Index also includes Global Treasury.0% 0. JPY 35bn (or regional equivalent) minimum outstanding • Rated IG using middle rating of Moody’s.0% 0.0% 0. Aggregate Index (USD 300mn).3% 8.0% 0.2% 16.3% 0.0% 0.7% 1.6% 0.4% 13.7% EUR 16.5% 0.9% 0. publicly issued in global/regional markets Inception January 1.1% 39.3% 6. GBP 200mn. Euro-Yen (JPY 35bn). 31. S&P.BARCLAYS CAPITAL INDICES Global Aggregate Bond Index Overview • The Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets.0% 0.0% 0.1% 0.5% 0.6% 4. EUR 300mn.0% 0.5% JPY 14. β Sector by Currency Composition Sector Treasury Gov-Related Corporate MBS ABS CMBS Covered Total α Total 49.9% 1.3% 1.0% 17.3% GBP 3.3% 1.0% 5.9% 0.7% 1.2% 15.5% 6.9% 0. 1990 Currency Denomination Multi Bloomberg ALLX <LEGA> <GO> Index Family Structure Global Aggregate US Agg 300MM US Treasury US Govt-Rel US Corporate US Securitized Pan Euro Agg Euro Agg Sterling Agg Other PE Asia-Pac Agg Japan Agg Non-Japan Other Global Tsy Eurodollar Euro-Yen CAD Agg 144A Source: Barclays Capital BENCHMARK INDICES 17 .0% 3.6% 5. • The Global Aggregate Index contains three major components: the U.0% 0.1% 100% USD 10.1% 0. and the Asian-Pacific Aggregate Index (JPY 35bn).0% 4. and Fitch • At least 1 year until final maturity • Fixed-rate and step-up coupons • Denominated in one of 23 eligible currencies • Fully taxable.S.0% 13. Eurodollar (USD 300mn).3% 0.5% 30.1% 0.9% • Global investors are increasingly selecting this flagship benchmark for their portfolios over multi-currency government/Treasury-only indices that do not include spread sectors. 2009 Key Rules • USD 300mn. Source: Barclays Capital Note: Effective Date: Oct. the Pan-European Aggregate (EUR 300mn). Canadian (USD 300mn equivalent).

4% 13.1% • The flagship Barclays Capital U. Credit U.S. and CMBS β Sector by Quality Composition Sector Treasury Govt-Related Corporate MBS CMBS ABS Total α Total 26. Universal Index that includes HY and EM debt Source: Barclays Capital Note: Effective Date: Oct. Aggregate U. 31. Supranational.0% 0.0% 0.S.6% 8.0% 9. ABS.S.S. fixed income benchmark family.S.S. 1976 Currency Denomination USD Bloomberg ALLX <LBUS> <GO> Source: Barclays Capital U.S.S.7% BAA 0.0% 3.0% 8. U. Government Index Family Structure U.S.1% 0. Key subindices include the U.0% 0. Agency U. • Index replication options include exchange traded funds (ETFs).9% 7.S.4% 78. S&P. Treasury U.0% 0. including Treasuries. ABS BENCHMARK INDICES 18 .S.S.S.S. MBS.8% 0.0% 0. Aggregate is also a component of the multi-currency Global Aggregate Index and the U.8% 0.9% A 0.S. Aggregate Bond Index Overview • The U.3% 0.5% 18. U.4% 11. Intermediate Aggregate.S. Aggregate covers the investment-grade. Securitized U.3% 0.S. Agency U.S.S. fixed-rate taxable bond market. MBS U. Non-U. dollar-denominated.8% 37.1% 0. and derivatives replications with an RBI® swap • The U. and U. U.1% 0.1% 37.S.3% AA 0. 2009 Key Rules • $250mn minimum amount outstanding • Rated IG by middle rating of Moody’s. Local Authority.0% 0. CMBS U. Corporate Sovereign.6% 3.S. MBS (agency fixed-rate and hybrid ARM passthroughs).8% 2.4% 100% AAA 26. and Fitch • At least 1 year until final maturity • Fixed-rate and step-up coupons • Denominated in USD • SEC-registered or Rule 144A with registration rights • Fully taxable Inception January 1.S.0% 0. U. Credit.BARCLAYS CAPITAL INDICES U. Aggregate Bond Index and its sub-indices are the most widely used U. Government. government-related and corporate securities.6% 2.9% 0. Government/Credit.S. total return swaps (TRS).

5% 0.6% 4.0% 5.3% 0. CZK.BARCLAYS CAPITAL INDICES Pan European Aggregate Bond Index Overview • The Pan-European Aggregate Index tracks fixed-rate. AA 15.1% 14. Danish krone. • Other Pan Euro Aggregate subindices include the Danish Krone Aggregate.0% 57. ** The existing Swiss Franc Aggregate will not be included in its entirety.3% 3. Swiss Franc**. 2009 Index Family Structure Pan Euro Aggregate Euro Aggregate Euro Treasury Euro Gov-Related Euro Corporate Euro Securitized Sterling Aggregate UK Gilt UK Non-Gilt Others Swedish Agg Danish Agg Norwegian Agg Swiss Franc* Central Europe Note: *Swiss franc will be added as of January 1. Key Rules • EUR 300mn (or local equivalent)/GBP 200mn minimum amount outstanding • Rated IG using middle rating of Moody’s. investment-grade securities issued in the following European currencies: Euro. SKK • Publicly issued in Eurobond and index-member domestic markets Inception January 1. 31. Polish zloty.6% 1.1% 10. 1999 Currency Denomination Multi Bloomberg ALLX <LP06> <GO> Note: Effective Date: Oct. Norwegian Krone Aggregate. Czech koruna. CHF.0% 0.1% 10.6% 23. are widely used benchmarks in their respective regions.0% 4. Source: Barclays Capital BENCHMARK INDICES 19 .0% 0.2% • Subindices.5% 0. such as the Euro Aggregate and the Sterling Aggregate. • The Pan-European Aggregate Index was launched on January 1. SEK. Norwegian krone.4% 0. 1999. β AAA 37. DKK.0% 0.0% 0. and Central European Indices.1% 0.3% 0. HUF.6% 100% Sector by Quality Composition Sector Treasury Gov-Related Corporate ABS CMBS Covered Total Source: Barclays Capital.4% A 3.1% 0.3% 14. PLN. and Swiss franc*. S&P. British pounds. Swedish Krona Aggregate.1% 9. Swedish krona.2% 0.3% 18.1% α Total 56.4% BAA 0.3% 0. GBP. Slovakian koruna.3% 0.5% 9. NOK. 2010.1% 0. Hungarian forint. and Fitch • At least 1 year until final maturity • Fixed-rate and step-up coupons • Denominated in EUR.

investment-grade Sterling-denominated securities.0% 0. FloatingRate Notes. Swaps. 2009 Key Rules • GBP 200mn minimum amount outstanding • Rated IG using middle rating of Moody’s. Inflation Swaps.0% 6.0% 0.2% 0.8% 0.7% A 0.8% BAA 0.5% 0. Source: Barclays Capital Note: Effective Date: Oct. β Sector by Quality Composition Sector Treasury Gov-Related Corporate ABS CMBS Covered Total α Total 60. and Emerging Markets.6% 0.5% 0. including Gilt and Non-Gilt bonds.4% 1. • The Sterling Aggregate Index was launched on January 1.4% 13.4% 11.4% 73.6% 0.8% AA 0. • Barclays Capital also publishes GBP benchmarks for High Yield. Asset-backed Securities (fixed and floating).2% 23.0% 6. 1999 Currency Denomination GBP Bloomberg ALLX <LC58> <GO> Source: Barclays Capital UK Securitized BENCHMARK INDICES 20 .3% 0.7% 5.7% • The index is a subset of the Global Aggregate and the Pan European Aggregate in its entirety. Linkers.9% 0.4% 11.4% 100% AAA 60. 31.3% 5. • A version of the Sterling Aggregate with a lower minimum issue size of GBP 100mn was launched in December 2009.9% 0.2% 0.0% 0.BARCLAYS CAPITAL INDICES Sterling Aggregate Bond Index Overview • The Sterling Aggregate Index contains fixed-rate. 1999.1% 0.0% 12. and Fitch • At least 1 year until final maturity • Fixed-rate and step-up coupons • Denominated in GBP • Issued in domestic UK or Eurobond market UK Gov-Related UK Corporate Index Family Structure Sterling Aggregate UK Gilts UK Non-Gilts Inception January 1.5% 0.4% 0. S&P.9% 0.3% 0.

0% 0. • A widely used subindex in this family is the Japanese Aggregate.4% BAA 0. S&P. Thai baht.0% 0. and Taiwan dollar.0% 87. β Sector by Quality Composition Sector Treasury Gov-Related Corporate ABS Covered Total α Total 83. THB. New Zealand dollar.1% 2.0% 7. Hong Kong dollar. South Korean won. KRW. KRW.0% 0.1% 0.2% 9.4% 0.0% 0.0% 0.7% 0.4% AA 75. SGD.0% 0. or TWD • Fully taxable.3% 0. 2009 Key Rules • JPY 35bn (or local equivalent) minimum amount outstanding • Rated IG using middle rating of Moody’s. AUD.6% 0. and Fitch • At least 1 year until final maturity • Fixed-rate and step-up coupons • Denominated in JPY. 2000.4% • The index is a subset of the Global Aggregate Index in its entirety.BARCLAYS CAPITAL INDICES Asia-Pacific Aggregate Bond Index Overview • The Asian-Pacific Aggregate Index contains fixed-rate investment-grade securities denominated in Japanese yen.1% 1. NZD. THB.5% 0. MYR.7% A 5. SGD. which only includes bonds denominated in JPY. Malaysian ringgit. Australian dollar. TWD Japanese Agg JPY Treasury JPY Gov-Related JPY Corporate JPY Securitized BENCHMARK INDICES 21 .6% 5.0% 3.0% 11. • The Asian-Pacific Aggregate Index was launched on July 1. publicly issued in global/regional markets Inception July 1.0% 0. Singapore dollar.0% 100% AAA 2. HKD. MYR.2% 0. NZD. Source: Barclays Capital Note: Effective Date: Oct.0% 0. 31.0% 4. 2000 Currency Denomination Multi Bloomberg ALLX <LAPC> <GO> Source: Barclays Capital Index Family Structure Asia-Pac Aggregate Non-Japan Australian Agg Other Currencies HKD.

2% 0.6% 0.5% 5.0% 0.0% 0.7% 0.8% 0. publicly issued in global/regional markets JPY Gov-Related JPY Corporate Index Family Structure Japanese Aggregate JGBs Other Sectors Inception July 1.0% 0.3% Total 83. S&P. 31.7% BAA 0. • The Japanese Aggregate Index was launched on July 1.8% A 0. corporate.BARCLAYS CAPITAL INDICES Japanese Aggregate Bond Index Overview • The Japanese Aggregate Index is a broad-based investment-grade benchmark consisting of fixed-rate JPY-denominated securities. Source: Barclays Capital Note Effective Date: Oct. and securitized debt.1% 1.0% 97.0% 0. The index is composed primarily of Japanese Government Bonds (JGBs) but also includes government-related.0% 0. β Sector by Quality Composition Sector Treasury Gov-Related Corporate ABS Total α AAA 0.6% as of 10/31/09).0% 0.2% AA 83. 2009 Key Rules • JPY 35bn minimum amount outstanding • Rated IG using middle rating of Moody’s.8% 10. 2000. 2000 Currency Denomination JPY Bloomberg ALLX <LG24> <GO> Source: Barclays Capital JPY Securitized BENCHMARK INDICES 22 .3% 0.1% 100% • The index is a subset of the Asian-Pacific Aggregate and the Global Aggregate Indices.8% 10.0% 1.0% 0. The Japanese Aggregate is the largest component of the Asian-Pacific Aggregate by market value (87. and Fitch • At least 1 year until final maturity • Fixed-rate and step up coupons • Denominated in JPY • Fully taxable.2% 3.

31. based on lower of S&P and Moody’s rating • At least 1 year until final maturity • Fixed-rate or zero notional coupon • Bonds must be capital-indexed and linked to a commonly used domestic inflation index.8% Sweden 2.S. JPY 50bn.2% Japan 5. Australia.9% Source: Barclays Capital Note: Effective Date: Oct. Canada 2. CAD 600mn. Greece exited the index on December 31. 1996 Currency Denomination Multi Bloomberg <BCIX> <GO> Index Family Structure World Government Inflation-Linked Index U. domestic inflation indices and the EMU HICP are eligible Inception December 31. and Aa3/AA– otherwise. but remains eligible for the Universal Government Inflation-Linked Bond Index. and Germany.5% α Country Breakdown • Countries include the UK. 37. In the Eurozone. USD 500mn minimum issue size • Currency rating of A3/A. Canada. France Japan Italy Sweden Germany Canada Australia Source: Barclays Capital BENCHMARK INDICES 23 .S.4% β U. the US. Japan. Euro-zone 28.K. SEK 4bn.4% U.BARCLAYS CAPITAL INDICES World Government Inflation-Linked Bond Index Overview • The Barclays Capital World Government Inflation-Linked Bond (WGILB) Index measures the performance of the major government inflation-linked bond markets. GBP 300mn. Eurozone U.for G7 and euro-zone markets. 2009. Sweden. a top-tier lead manager of issuance and a major innovator in this asset class. Italy.K. 2009 Key Rules • AUD 700mn. 22. France. EUR 500mn. Australia 0.8% • Barclays Capital is a world-leader in inflation-linked products and is recognized as a key market-maker in global inflation-linked securities.

GBP 200mn.0% 5. Mexican.5% 3.4% 2.4% • As of October 2009.1% 29. 2009 BENCHMARK INDICES 24 .6% 77. • The three major components of this index are the U. Chilean.1% 8. 1987 Currency Denomination Multi Bloomberg ALLX <LGTR> <GO> Source: Barclays Capital Note: *As of January 1. publicly issued in the global and regional markets Index Family Structure Global Treasury Currencies Americas EMEA CAD CHF* GBP Asia Pacific AUD NZD CLP CZK NOK HKD SGD MXN DKK PLN JPY TWD USD EUR SKK KRW THB HUF ZAR MYR Inception January 1. in addition to Canadian. and Fitch • At least 1 year until final maturity • Fixed-rate and step up coupons • Fully taxable. 35bn JPY minimum amount outstanding • Countries must have an investment grade sovereign rating using the middle rating of Moody’s.6% 6.7% 20.8% 6. the index represents the Treasury sector of the Global Aggregate Index and contains issues from 36 countries denominated in 21 currencies. Treasury Index. and the Asian-Pacific Treasury Index.9% 20. EUR 300mn.5% 23. and South African government bonds.6% 1.6% Long 1.6% 7.S. S&P.8% 16.3% 3.BARCLAYS CAPITAL INDICES Global Treasury Bond Index Overview • The Global Treasury Index tracks fixed-rate local currency sovereign debt of investment grade countries β Country Breakdown Country France Germany Italy Japan United Kingdom United States Other Total Source: Barclays Capital α Total 6.7% 5.2% 3.5% 17.8% 100% Intermediate 5. Key Rules • USD 300mn.2% 22. the Pan-European Treasury Index.1% 4.

and GBP. EUR.3% 31. EUR.S.1% 16.6% 12. Emerging Markets High-Yield U.7% CAA 0.S. and Pan-European Emerging Markets High Yield Indices.8% • The Global High Yield Index provides a broad-based measure of the global high yield fixed income markets with eligible bonds denominated in USD. 31. High Yield.3% 62. 1990 Currency Denomination Multi Bloomberg ALLX <LG30> <GO> Source: Barclays Capital Index Family Structure Global High Yield Pan-European High-Yield Pan-European Emerging Markets High-Yield U. EM HY may include floating-rate securities • Denominated in USD. as of October 2009.2% 1.1% 5.0% 1.S. DKK. U.6% 2. Emerging Markets High-Yield.2% 100% BA 11.1% 20.9% 6.8% 0. NOK Inception January 1.7% 2.S.1% 0.8% CA-NR 0. GBP.8% 0. Corporate High-Yield U. 2009 Key Rules • Minimum amount outstanding of USD 150mn for U.BARCLAYS CAPITAL INDICES High Yield Bond Indices Overview • The Global High Yield Index represents the union of the U.8% 0.0% 25.S. • Other high yield benchmarks include the US HY FRN Index and US HY Loan Note: Effective Date: Oct. S&P and Fitch • At least 1 year until final maturity • Fixed-rate and step-up coupons.S. EUR 100mn for Pan-European HY securities. CMBS High Yield.7% 5. CMBS High-Yield BENCHMARK INDICES 25 . USD 500mn/EUR 500mn for Emerging Markets securities. Pan-European High Yield.6% 0.2% 3. CMBS HY Index included in its entirety • Rated high yield by middle rating of Moody’s.7% B 5. β Global High Yield Index: Sector by Quality Sector Govt-Related Financial Industrial Utility CMBS Total Source: Barclays Capital α Total 17.S. • Issuer constrained high yield bond indices (such as the US HY 2% Issuer Capped Index) are a commonly used alternative weight benchmark for high yield investors.0% 14.5% 0.1% 1. HY securities. U.6% 3.7% 45.

& Global HY indices Source: Barclays Capital Global EM Index US EM Index USD Pan Euro EM Index EUR GBP Tradable USD Sov Quasi-Sov Corporate Source: Barclays Capital BENCHMARK INDICES 26 . Amer Sovereign Sovereign Quasi-Sov Corporate Other EM-Related Benchmarks • EM Local Currency Govt Universal (incl China & India) • EM Government Universal GDP Weighted Index (external currency + local currency govt debt) • Gulf Cooperation Council (GCC) USD Credit • EM Asia USD Credit • EM Tradable USD Sovereign Bond Index • Local currency EM swap indices (CCEMEA.BARCLAYS CAPITAL INDICES Emerging Markets Bond Indices Overview • Barclays Capital provides several families of emerging market debt indices denominated in external and local currencies. Asia) • EM Index debt also crosses over into broader indices such as the Aggregate. EGP HUF TRY KRW PHP • The EM Local Currency Government Index family is comprised of local currency treasury debt from 22 countries with a sovereign rating of A1/A+ or World Bank income classification of Low. EMEA HRK RUB PLN TRY ZAR Asia THB MYR KRW Source: Barclays Capital EM External Currency Index Family EM Credit Asia USD GCC USD Cent. and corporate issuers from countries with a sovereign rating of Baa1/BBB+ and lower. Universal. LATAM EM Govt Inflation Linked ARS COL BRL MXN CLP PEN ILS PLN ZAR IND CLP COL CZK • The EM Global Inflation Linked (EMGILB) Index comprising inflation-linked treasury debt from nine countries. or Upper/Middle. Low/Middle. and GBP denominated bonds from sovereign. β EM Local Currency Index Family EM Local Currency Govt Universal ARS BRL MXN α • The Global EM Index family comprising USD. EUR. government-related agency.

High Yield Corporate Index.0% 1.0% 0.1% 0.2% 100% • The U.4% 14.1% 0.3% A 0.1% 0.9% 4. Index Family Structure US Universal US Aggregate US High Yield US 144A US EM US Eurodollar US CMBS Non-ERISA Source: Barclays Capital Source: Barclays Capital Note: Effective Date: Oct. the Pan-European EM Index.1% BAA 0.0% 1.0% 8.7% 4.8% 56. • The Pan-European Universal Index was launched on January 1.0% 0.0% 0. 2009 BENCHMARK INDICES 27 .0% 5.1% 0.1% 0.3% 0.4% 7. 2009 Pan Euro Universal: Sector by Quality Composition Pan Euro Universal PE Aggregate PE High Yield PE EMG Universal Govt I/L World Govt I/L EM Govt I/L Sector Treasury Gov-Related Corporate AAA 36.0% 0.8% Total 23.1% 9.2% 71.0% 0.3% 11.S.9% 33.2% 33.0% 3. the 144A Index. 2002.1% 0.4% 0.0% 1.0% 4.5% 8.2% 1.3% 0.0% 0. and represents the union of the U.1% 23.S.0% 0.S. the U.3% 0.8% AAA 23.0% 9.1% 4.0% 0.3% 19.8% 0.0% 0.4% 100% Multiverse Global Agg Global HY ABS CMBS Covered Total Source: Barclays Capital Note: Effective Date: Oct.5% Total 55.1% 14.2% 0.3% 0.0% 0.1% 2.0% 0.6% 1.1% 0.0% 0.1% 0. 1999.3% 16. It includes contributions from the Pan-European Aggregate Index. β US Universal: Sector by Quality Composition Sector Treasury Gov-Related Corporate MBS ABS CMBS Covered Total α HY 0.3% 2.0% 5.S. and the Pan-European High-Yield Index.1% 10. the non-ERISA eligible portion of the Investment grade CMBS Index.7% 0.9% 8.2% AA 15. 31.1% 0.2% 0.6% 0.7% 0.0% 0.4% 0.5% 9. Emerging Markets Index. the U.BARCLAYS CAPITAL INDICES Universal Bond Indices Overview • Universal indices are broad-based benchmarks generally used by Core Plus managers that add high yield and/or emerging markets debt to existing Aggregate of investment grade indices.3% 3.0% 1.5% 0. Universal index was launched on January 1.3% 0.0% 0. and the Emerged Bonds Index.2% HY 0. as an aggregation of existing European currency-denominated fixed income indices.0% 0.8% BAA 0. 31.3% AA 0. the Eurodollar Index. Aggregate Index.6% 23.0% 0.7% 0.0% A 3.0% 0.

2% BAA 16.8% 9.8% 4.3% 27.4% A 20.0% 1.4% 2.9% 0.2% 0.5% 100% 0.2% 23.2% 2.3% 0.6% A 6.7% 0.0% 2. • In addition to the Pan-European ABS Indices. 2009 Sterling ABS: Collateral by Quality Composition Pan-Euro Pan Euro ABS Fixed Rate Pan Euro ABS Floating Rate Fixed Rate Collateral Whole Business RMBS Other ABS CMBS Total Floating Rate Whole Business RMBS Other ABS CMBS Total Source: Barclays Capital AAA 8.7% AA 11.0% 3.0% 0.8% 9.0% 0.5% 12.3% 7. Coverage by Currency • • Source: Barclays Capital Note: Effective Date: Oct. Euro.3% 0.0% 7.1% 83.3% 100% • These indices offer a more meaningful method of accurately measuring the credit and prepayment performance of European ABS market over simple Libor benchmarks.8% 71.3% 0.6% 0.0% 0.3% 0. Barclays Capital also publishes standalone EUR and GBP benchmarks (launched in January 2004).0% 6.3% 31.0% 21. and Sterling ABS Indices provide a broad-based Fixed Rate measure of the investment-grade fixed and floating-rate asset-backed securities market. β Euro ABS: Collateral by Quality Composition Collateral Whole Business RMBS Other ABS Total Floating Rate Whole Business RMBS Other ABS CMBS Total α BAA 2.2% 0.9% 19.0% 4.0% 2.0% 3.3% 0.3% 6.8% 1.9% 3.0% 0. 31.4% 11.5% 100% EUR • Euro ABS Fixed Rate • Euro ABS Floating Rate GBP • Sterling ABS Fixed Rate • Sterling ABS Floating Rate Note: Effective Date: Oct.0% 61.0% 0.5% 16.5% 1.0% 1.7% 19.0% 65.9% 0.2% 1.1% 0. 31.0% AAA 0.9% 79.0% 9.3% 1.0% 3.5% 30.0% 1. 2009 BENCHMARK INDICES 28 .1% 0.6% 3.2% 0.0% 3.5% 100% 0.5% 1.0% 6.9% AA 0.7% 1.0% 6.0% 14.4% 0.3% 83.5% Total 8.2% 70.8% 0.5% 4.BARCLAYS CAPITAL INDICES Euro & Sterling ABS Indices Overview • The Pan-European.0% 2.8% Total 56.6% 0.8% 81.5% 6.8% 1.0% 6.0% 3.0% 4.9% 87.

6% 4.1% AA 36.9% 0. the Euro FRN Index is not part of an existing Aggregate Index.5% 0.1% 3.0% 0.7% 0.BARCLAYS CAPITAL INDICES Floating-Rate (FRN) Bond Indices Overview • Most Barclays Capital benchmarks include only fixed-rate securities.S.0% 0.0% 0.6% 5.0% 0.5% 39.1% 13.6% 0.1% 0. FRN Index.7% 0.0% BAA 6. Floating-Rate Note (FRN) Index was launched on October 1.6% A 31.7% 1.1% 100% EUR GBP • Sterling FRN Index • Sterling ABS Floating Rate Index Sovereign Local Auth Total Source: Barclays Capital Note: Effective Date: Oct.2% 0.1% 0.0% 0.7% 0.2% 0.8% 0.6% 2.7% 0.2% • The U.0% 0.6% 2.0% 55. Aggregate Index.2% 0.5% 0.6% 1. 31.0% 1. This index is not part of any of our U. 2009 Euro FRN: Sector by Quality Composition Sector Financial Industrial Agency Supranational Utility AAA 0.8% 1. but Barclays Capital offers an extensive family of benchmarks that also include corporate and asset-backed floating-rate securities. β US FRN: Sector by Quality Composition Sector Financial Agency Industrial Supranational Utility Local Auth Total α Total 73.2% BAA 2. Sector Coverage by Currency USD • US FRN Index • US High Yield FRN Index • US ABS Floating Rate Index • Euro FRN Index • Euro ABS Floating Rate Index Source: Barclays Capital Note: Effective Date: Oct.S.0% 0.0% 8.0% 0.0% 0.3% 0.5% 0.0% 0.0% 0. Similar to the U.0% 3.0% 0. 2009 BENCHMARK INDICES 29 .S.4% 0.0% 0.7% A 51. which is a fixed coupon index.0% 0.0% 0.2% 0.0% 0.0% 0.0% 0.5% 0.1% 0. • The Euro Floating-Rate Note (FRN) Index was launched on December 1.0% 32.0% 17.6% 11.2% 2.1% 0.8% Total 90.0% 5.6% 2. 2003.6% 9. 2003.4% AA 32.0% 0.5% 100% AAA 2.1% 3. 31.0% 38.

6% 53. Barclays Capital also began publishing a non-investment grade municipal bond index and “enhanced” state-specific indices for Arizona.6% 10. Minnesota.7% 0.0% 36.5% 11.BARCLAYS CAPITAL INDICES Municipal Bond Index Overview • The U.8% New York 14. revenue bonds. and pre-refunded bonds.5% 30.0% 0. Barclays Capital began publishing Managed Money Municipal Indices and Insurance Mandate Municipal Indices.0% 0. Maryland.8% Inception January 31. 31.2% 4.8% 0. Connecticut.4% 14.7% AA 7.7% 0.5% 2. S&P.4% Note: Effective Date: Oct. issued as part of a transaction at least $75mn for the investment-grade Municipal Index • Rated IG by middle rating of Moody’s. Municipal Indices cover the USD-denominated long-term tax exempt bond market.6% 10. 1980 Currency Denomination USD Bloomberg ALLX <LMBI> <GO> Source: Barclays Capital BENCHMARK INDICES 30 .0% 19.7% Florida 5. 31. β Sector by Quality Composition Sector Local GO State GO Insured Prerefunded Revenue Total α Total 10.1% A 0.1% 20.0% 7.4% 100% AAA 2. The index has four main sectors: state and local general obligation bonds. insured bonds.6% • In January 1996. Massachusetts. • In 2005.9% Texas 7. Source: Barclays Capital Note: Effective Date: Oct. and Fitch • At least 1 year until final maturity • Fixed-rate coupon • Denominated in USD State Breakdown California 16.0% 23.0% 11.0% 0.6% BAA 0.0% 0.7% 12. These indices are published separately from the Barclays Capital Municipal Bond Index. and Ohio. 2009 Key Rules • $7mn minimum amount outstanding.S.4% Massachusetts 4. 2009 Others 50.6% 3.1% 6.

5% 17.3% 18. Corporate Index until July 2000.4% 100% AAA 0.S. Government U.S. dollar-denominated fixed-rate taxable bond market.5% 8.S. β Sector by Quality Composition Sector Financial Utility Industrial Govt-Related Total α Total 28. Credit Non U. local authorities.0% 0. Credit is also a component of the U. Government/Credit U.5% 9.4% 4.S.S.S.8% 40. 2009 Key Rules • $250mn minimum amount outstanding • Rated IG by middle rating of Moody’s. including corporates. Treasury U.S. when it was renamed to reflect the index’s composition of both corporate and non-corporate issuers. S&P.1% 15.BARCLAYS CAPITAL INDICES U. Govt-Related Inception January 1. Credit Index covers the U.0% 34.8% 0.S.S. 1-10 Year. • Exchange Traded Funds exist based on the U.2% 4. and Fitch • At least 1 year until final maturity • Fixed-rate and step-up coupons • Denominated in USD • SEC-registered or Rule 144A with registration rights • Fully taxable Index Family Structure U. Credit Bond Index Overview • The U. Government/Credit Indices.S.9% 9.7% BAA 4.0% AA 7.0% 0.S. 31.5% • The U.4% 43. and non-native currency agencies. Corporate U. Agency U. Aggregate and U.8% A 16.S.7% 3. 10+ Year. Credit Index and the following sub-indices: 1-3 Year.S.7% 3. • The U.7% 20. taxable municipals.4% 5. sovereigns. Source: Barclays Capital Note: Effective Date: Oct.S.S.7% 2. Credit Index was called the U. 1973 Currency Denomination USD Bloomberg ALLX <LUCR> <GO> Source: Barclays Capital BENCHMARK INDICES 31 . supranationals.S.

BARCLAYS CAPITAL INDICES

U.S. Mortgage Backed Securities (MBS) Index
Overview
• The U.S. Mortgage Backed Securities (MBS) Index covers agency
mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).

β
FNMA
6.8% 1.5% 39.6% 2.4% 50.2%

α

Sector Breakdown
Sector
15 Year 20 Year 30 Year Hybrid ARM Total
Source: Barclays Capital

FHLMC
4.9% 1.2% 26.1% 2.4% 34.6%

GNMA
0.3% 0.0% 14.7% 0.1% 15.1%

Total
12.0% 2.7% 80.5% 4.9% 100%

• The MBS Index excludes non-agency (whole loan) and jumbo
securities, CMOs, buydowns, graduated-equity mortgages, interestonly (I.O.), and project loans.

• On April 1, 2007, agency hybrid adjustable-rate mortgages (ARM)
pass-through securities were added to the U.S. MBS Index. Hybrid ARMs are eligible until 1 year prior to their floating coupon date.

Note: Effective Date: Oct. 31, 2009

Key Rules
• Pool aggregates must have at least $250mn minimum amount outstanding • Pool aggregates must have a weighted average maturity of at least 1 year. • Denominated in USD • SEC-Registered, fully taxable issues

MBS Generic Aggregate Decomposition
To price the Agency MBS universe, pools with similar characteristics are aggregated into generic securities based on the following factors:

Agency (GNMA, FNMA, FHLMC) Program (30-year, 15-year, 20-year, 3/1, 5/1, 7/1, 10/1) Coupon (half percent increments for fixed-rate, quarter percent increments for ARMs) Origination Year based on WALA

Inception January 1, 1976

Currency Denomination USD

Bloomberg ALLX <LUMS> <GO>
Hybrid ARM Aggregates are then further broken down into subaggregates based on floatingrate coupon reference rate, floating-rate coupon cap structure and existence of an IO feature.

Source: Barclays Capital

BENCHMARK INDICES

32

BARCLAYS CAPITAL INDICES

Benchmarks for LDI Strategies
Overview
• Deteriorating and increasingly volatile funding ratios and regulatory changes have led to increased emphasis on the importance of asset-liability management (ALM) and liabilitydriven investment (LDI) strategies • Our approach has been to offer a diverse set of “ingredients” that investors can select from to achieve their desired benchmark

β
The Swap Approach
• One of the largest and most liquid markets (better than Treasuries in longer maturities) • Track pension liability discount curves more effectively given the credit risk premium

α

• Very little capital is required to hedge liability indices based on swaps

Traditional Approach: Aggregate, Long Government/ Credit, STRIPS Indices
Cons Pros • Ease of implementation: • Potential term structure Managing normally differences against a benchmark that • For frozen funds, benchhas duration “close mark turnover holds enough” to liabilities duration constant, while liabilities decrease in • Blend of standard index duration over time and STRIPS can create • Cash intensive benchmark with appropriate duration and cash • Low yield of Treasury flow profile STRIPS • STRIPS tenors limited to • Does not employ derivalongest maturities of outtives, which some plans standing coupon bonds have yet to be comfortable with • Limited liquidity
Source: Barclays Capital

Highlighted Swap Index Families
• Rolling maturity indices – Tenors from 3 months to 50 years (varies by currency) • Fixed maturity indices • Global coverage Asia – JPY, AUD, NZD, HKD, THB, TWD, SGD, KRW Americas – USD, CAD, MXN EMEA – GBP, CHF, DKK, NOK, SEK, CZK, HUF, PLN, SKK, ZAR

Par Swaps

Zero Coupon Nominal Swaps Zero Coupon InflationLinked Swaps
Source: Barclays Capital

BENCHMARK INDICES

33

BARCLAYS CAPITAL INDICES

Alternative Weighting Schemes: Issuer Capped
Overview
• By default, Barclays Capital benchmarks are market value weighted, but some investors may be governed by explicit issuer concentration limits or guidelines that prohibit concentrations in a single issuer above a certain percentage. • We offer rules-based, issuer capped versions of our benchmarks that lower the concentrations of larger issuers and effectively reduce these exposures compared with our uncapped indices.
U.S. HY Uncapped Rank Issuer
1 2 3 4 5 6 7 8 9 10 Ford (F) Sprint (S) GMAC (GMAC) Columbia/HCA (HCA) Intel (INTEL) AIG (AIG) TXU (TXU) First Data (FDC) Chesapeake (CHK) CIT Group (CIT)

β

α

U.S. HY Top 10 Issuers – Uncapped vs. 2% Capped
U.S. HY—2% Capped MV ($bn)
13.8 13.8 13.8 13.8 12.9 11.2 9.6 8.9 8.0 7.6

MV ($bn)
23.1 16.4 15.4 14.9 12.6 11.0 9.4 8.7 7.8 7.4

MV%
3.34% 2.37% 2.23% 2.15% 1.83% 1.59% 1.35% 1.25% 1.13% 1.08%

MV%
2.00% 2.00% 2.00% 2.00% 1.87% 1.62% 1.38% 1.28% 1.15% 1.10%

Capping Methodology
1. Set issuer concentration limit

Source: Barclays Capital Indices

Note: Effective Date: October 31, 2009

Highlighted Issuer Capped Benchmarks
2. Calculate MV in excess of the issuer cap • U.S. HY- 1%, 2%, 3%, 4% capped versions 3. Allocate excess MV to other issuers in the index below the cap on a pro rata basis • U.S. HY BA/B - 1%, 2%, 3%, 4% capped version • U.S. Credit (IG) - 1%, 2%, 3% capped versions • Pan Euro HY - 2%, 3%, 4%, 5% capped versions 4a. Index Wide or 4b. Sector Neutral • Global EM Local Currency 10% country capped
Source: Barclays Capital

Source: Barclays Capital

BENCHMARK INDICES

34

U.S.05 0.41 13.57 3.44 32.10 1.06 100 Global Agg Float Adjusted (MV%) 49.72 -0. Treasuries.12 0.42 10. Aggregate Pan Euro Agg Asia Pac Agg U.50 0. agencies.05 0.76 -1.22 15.83 0.S.89 0.05 -0.80 1.05 1.33 1.15 -3.86 1.66 3.35 0.07 38.S.25 -1.S.19 0 Note.25 0.14 0. Effective Date: October 31. respectively.36 15.41 3.53 100 α U. Float-adjusted Index Family CMBS Total Source: Barclays Capital Indices Global Aggregate Global Aggregate Comparison Global Agg (MV%) Treasury Government-Related Agency Local Authority Sovereign Supranational Corporate Securitized MBS Pass-through ABS CMBS 49.99 12.12 17.90 -3. which include agencies and MBS held in government accounts.57 17.13 18.44 0.25 100 Difference 0.39 0.11 1.S.13 13.32 100 Difference 1. 2009 • The float-adjusted indices are complementary alternatives to the flagship Global Aggregate and US aggregate Indices.14 0.19 1. Govt/Credit Sterling Agg Japanese Agg U.BARCLAYS CAPITAL INDICES Alternative Weighting Schemes: Float Adjusted Overview • The Global Aggregate and U.38 34.02 0.22 0.09 0.05 0.07 0. Treasury Government-Related Agency Local Authority Sovereign Supranational Corporate Securitized MBS Pass-through MBS Fixed Rate Hybrid ARMs ABS β US Agg Float Adjusted (MV%) 28.84 41. Aggregate Float-adjusted Indices offer index users new benchmarks of broad fixed-rate investment grade bond markets that excludes net holdings of U.07 0.27 0. MBS Covered Total Source: Barclays Capital Indices Source: Barclays Capital BENCHMARK INDICES 35 .28 37.59 35.97 4.01 0. and fixed-rate MBS pass-throughs held in Federal Reserve SOMA accounts.23 13. as well as Sterling Gilts and Japanese Yen held by the Bank of England and the Bank of Japan.01 4.50 16.S.S. Aggregate Comparison US Aggregate (MV%) 26.00 Note: Effective Date: October 31.47 10.53 9.06 1.31 0.36 19. 2009 U.07 1.20 20.38 3.19 0.49 1.75 1.23 -2.17 1.18 9.95 0.

instead of weighting each security by its market value contribution to the overall benchmark. However.BARCLAYS CAPITAL INDICES Alternative Weighting Schemes: GDP Weighted Overview • Gross Domestic Product (GDP) weighted indices widen the choice for investors beyond existing flagship indices which weight index eligible securities by their market value. and 3 Asia blocs) or at a specific country level. fixed GDP weights are applied at either a country bloc level to each of the 10 country blocs (3 Americas. market cap weights used within each country GDP weighted indices can be created from most standard or bespoke Barclays Capital fixed income benchmarks • Global Aggregate GDP Weighted Index • Global Treasury GDP Weighted Index • EM Government Universal GDP Weighted Index • EM Local Currency Government GDP Weighted • Global Treasury Universal GDP Weighted Index • Global Treasury Universal+ GDP Weighted Index • Euro Treasury GDP Weighted Construct GDP Weighted Benchmark Indices using calculated GDP country bloc or GDP country weights and rebalance monthly back to target GDP weight Source: Barclays Capital BENCHMARK INDICES 36 . Other Europe UK Eurozone US EMEA EM β α GDP Weighted Country Blocs • Underlying composition of a GDP weighted benchmark is the same as that of a market value weighted index. Canada Asia EM Japan Latin America EM Australia/NZ Index Family Calculation Approach Assign every index-eligible bond to a country bloc based on its underlying country of risk Source: Barclays Capital Highlighted GDP Weighted Benchmarks GDP weights by Country Bloc only Market Value weighting all countries within bloc GDP Weights by Bloc & Country 2nd layer of GDP weights by country within each Bloc. 4 EMEA.

BARCLAYS CAPITAL INDICES Barclays Capital Investable Indices INVESTABLE INDICES 37 .

and controls INVESTABLE INDICES 38 .BARCLAYS CAPITAL INDICES Investable Indices Investable indices are the new market standard for accessing markets and strategies Clear goals The index will track a strategy that is rules based. trading relationships. with no discretion or interference Liquidity Tradable indices reference liquid instruments with transparent pricing Cost efficient An index may be an easier and cheaper way to gain exposure to new investment strategies Low maintenance Active strategies incur operational burdens that can be avoided via an index Market Access New asset classes require new infrastructure.

notes. daily calculation and checks • Dedicated legal and compliance teams (6 people) ensuring proper documentation and licensing Barclays Capital Investable Indices RESEARCH • Original research on investment strategies • Funnel of ideas from different teams at Barclays Capital • Standard framework for index development • Global team of 20 analysts INVESTABLE INDICES 39 ust Ro b s nes ACCESSIBILITY • Coverage of major asset classes • Simple investment formats in difficult-toaccess markets: TRS. options • Growing number of ETFs and ETNs referencing our index products sibil it y Research .BARCLAYS CAPITAL INDICES Investable Indices – Key features SEPARATE PLATFORM • As index sponsor. responsible for all index calculations • Part of Barclays Capital Global Research • Governed by Research Compliance • Index calculation performed on a dedicated platform te ra m pa r Se atfo Pl TRANSPARENCY • Daily publication of index levels on Barclays Capital website and Bloomberg Tr an sp ar en cy Ac c e s • Index methodology guides and fact sheets readily available • Frequent index performance reports ROBUSTNESS • Strict standards for index design • Dedicated IT team (20 people) handling implementation.

BARCLAYS CAPITAL INDICES Ease of Access to the Platform Barclays Capital Index Website www.barcap.com/indices Clear investment goals and rationale established for each index Performance Analysis Daily external published index values on Bloomberg and Reuters BXIICYXI Index <GO> Fact sheets with rationale. methodology and testing results Source: Bloomberg INVESTABLE INDICES 40 .

BARCLAYS CAPITAL INDICES

Strategy Indices in TSP
Easy Index Availability
• • •

All Barclays Capital indices are available in the Time Series Plotter tool (keywords: TSP or PLOT) on Barclays Capital Live Daily prices of investable indices can be found alongside benchmark indices and thousands of financial and economic variables The indices are laid out in an intuitive structure based on type (beta, enhanced beta, alpha etc.), currency and returns format

INVESTABLE INDICES

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Live returns to multi-strategy allocations
TSP: Strategy Indices
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Time Series Plots

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Name ICI USD Index USD Excess Return RIVA Index USD Excess Return GEMS Index (USD) USD Excess Return US 10Yr Treasury Futures Index USD Excess Retur US 2yr Note future USD Excess Return

Last 163.968 110.416 213.264 181.923 124.996

Minimum 95.331 99.918 06/22/2000 12/20/2001

Maximum 200.492 07/24/2007 110.416 08/10/2010 216.635 08/04/2008 181.923 08/10/2010 125.049 08/06/2010

Mean 149.294 105.643 164.261 129.767 110.145

SD 27.269 3.243 33.816 21.594 7.215

SD Change 0.602 0.082 0.792 0.563 0.130

100.000 07/16/2001 97.505 99.151 04/11/1997 04/14/1997

Time Series Statistics

Performance Analysis
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Historical performance metrics such as returns, volatilities and correlations are accessible with one click It is also easy to analyze performance over a custom sample period (e.g.: inception to date, last 1 year, custom dates)

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Customized Analytics in TSP
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It is possible to define dependent time series, such as returns and volatility series, using built-in functions Buttons are available for common tasks such as downloading data and copying or e-mailing charts Users have the ability to construct portfolios of strategy indices
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Portfolios can be set up to rebalance monthly or quarterly The analytics support equal weighted or equal volatility weighted combination methods

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The historical performance of strategy indices or portfolios of strategy indices can be compared to benchmarks It is easy to run time series regressions to calculate betas for various benchmarks or to decompose returns into components For detailed information and examples, see the publication Strategy Indices in Time Series Plotter, August 17, 2010

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INVESTABLE INDICES 44 .BARCLAYS CAPITAL INDICES Featured index families by asset class Rates Inflation Inflation Swaps Credit Credit Beta (Swaps) FX Liquid Basket Borrowing Units Commodities BCI BGCI (Carbon) Pure Beta S2 Momentum Alpha Multi Strategy Voyager Backwardation ComBATS Equity Equity EM Series Chips Family EM EM Tradable Bond EM Swaps Equity EM Series GEMS KRW Term Premium SGD Exceed Index Replication RBIs® Bond Indices REMIX (MBS) LBAR/SBAR Hedge fund β Bond Futures IRFix Swaps Targeted Exposure VOX / BPX INSPIRE NEMO Tradeweighted FX CPCI ASTRO TOM™ CRYSTAL AIMS BLSC FX Volatility Intelligent Carry (ICI) FX Value Adaptive Trend FX Switch Navigator Exceed Q Series TrendStar+ α PRISM The following sections provide one-page overviews of each of these featured indices. For a comprehensive list of investable index families see page 116.

and over-pricing Strategies attempting to identify market-directional trends and position to benefit from these Strategies taking long exposure to outperforming and short exposure to underperforming assets Strategies taking exposure to or tracking market volatility measures Strategies using rules-based signals to take market-directional positions Strategies designed to exploit relative value between assets but with minimal market exposure INVESTABLE INDICES 45 . However. simple categorization can help the understanding of a strategy and indicate common characteristics. economic or geographical theme Strategies exploiting market flows and distortions not necessarily related to fundamentals Strategies attempting to earn a premium in compensation for taking on additional risk Strategies attempting to model the fair value of an asset and identify under.BARCLAYS CAPITAL INDICES Categorizing strategies Most strategies can be categorized into one or more common themes or styles. Macro-thematic Market technicals Carry Value Trend Momentum Volatility Market timing Market neutral Strategies representing a fundamental. Such categorization is typically a qualitative exercise and definitions of styles may differ by asset class.

An illustrative example using five selected strategies 290 265 240 215 190 165 140 115 90 2002 ComBATS 6 PRISM GEMS Q-BES/Q-GSP FX Switch Equal-Vol Portfolio 2003 2004 2005 2006 2007 2008 2009 2010 Portfolio allocation approach Universe of Barclays Capital Investable Indices Qualitative and quantitative analysis Investor preference Source: Barclays Capital Equal Volatility Weights ComBATS 6 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 2002 GEMS FX Switch PRISM Q-BES/Q-GSP Set of selected investable indices Systematic allocation strategy Signal-based allocation tilts Custom portfolio of indices with optimized risk-return characteristics Source: Barclays Capital 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital INVESTABLE INDICES 46 . 5 January 2011. • Well-diversified alpha or alternative beta exposure can be used as a low correlation overlay for many active low-risk portfolio management approaches. dynamically rebalanced portfolios of investable indices. 1 June 2010 and “Diversified Systematic Alpha: Q4 2010 performance update”. • For further details see our research publications: “Portfolios of strategies: Does anything beat equal volatility weighting?”.BARCLAYS CAPITAL INDICES Diversified systematic alpha: An example portfolio • Access to a portfolio of indices representing risk-return-optimized.

BARCLAYS CAPITAL INDICES Overview of Flagship Investable Indices INVESTABLE INDICES 47 .

BARCLAYS CAPITAL INDICES Rates: Overview and Classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 48 he ro -t ke t M Va l Ca β Bond Futures IRFix Swaps Targeted Exposure VOX / BPX Tracking rolling futures investments in various markets Tracking interest-rate swaps on EUR and USD fixings Tracking the yields on the US Treasury yield curve Tracking volatility implied from swaptions Trading the EUR-USD frontend Libor spreads Attempting to extract rolldown from front-end futures Steepener / flattener positioning in 2Y/10Y swaps Risk-budgeted portfolio of rates alpha strategies CRYSTAL Exceed TrendStar+ α PRISM INVESTABLE INDICES RATES M M Index Description Tr en d ac rr ue ar y .

22% Source: Barclays Capital INVESTABLE INDICES RATES 49 . Bobl. Gilt.21% 6. • Futures prices are highly correlated with CTD bond yields and provide a means to express long or short rates views using instruments that are more liquid than underlying bonds. 5y. Euro.41% 0.9 2. Schatz Gilt LIFFE Long Gilt JGB TSE 10y Historical performance: As of December 31.34% -1. 10y notes and Long bond Euro EUREX Bund. and Japanese markets. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 4.80% 13. • The Bond Futures Indices rebalance quarterly before expiry to avoid any potential market distortions around delivery.05% 6.09% -5.BARCLAYS CAPITAL INDICES Rates: Bond Futures Indices Overview Style Access Beta Featured Index US 10 YR Treasury Futures ER Bloomberg BXIIUS10 Live Date Jan 2009 β Index performance 210 190 170 150 130 110 90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 US 10YR Index α • The Bond Futures family of indices provide transparent access to global futures markets by replicating the price-return performance of rolling investments in front contracts in the US.7 9. Source: Barclays Capital Bond Futures Family Coverage Exchange Futures US CBOT 2y.76% 4.16% 1.98% Last 12 Months 7.

91% 3. 20yr.91% 0.29% 2.84% -0. • The indices are available in EUR and USD and for 2yr.BARCLAYS CAPITAL INDICES Rates: EURFix and USDFix Swap Indices Overview Style Access Beta Featured Index EURFix Swap 5 YR ER Bloomberg BSWRFE05 Live Date Mar 2010 β α Index performance 135 130 125 EURFix 5Y ER Index EURFix 2Y ER Index • The EURFix and USDFix Swap Index Family replicates the performance of investing in nominal interest rate swaps in EUR and USD. 10yr.57% 9. 120 115 110 105 100 95 90 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Historical performance: As of December 31. • The key design feature of this family is that the excess return of each index is driven by the NPV of each underlying couponpaying swap. which is marked-to-market using transparent and publicly available EUR and USD market swap fixing rates. 25yr and 30yr maturities. 5yr.97% Last 12 Months 3.85% 1.39% 2. 2010 Statistic Annual excess return Annual excess return volatility Since Inception 2.80% -1.8 2. 15yr. the current swap is unwound and a new swap position is initiated. • Each index tracks the return of a receiver nominal par coupon interest rate swap for specific tenors and on each rebalance date.2 1.36% Index Calculation Approach Swap Curve Construction Pricing of underlying swaps Sharpe ratio Index Calculation Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Swap fixing rates Source: Barclays Capital INVESTABLE INDICES RATES 50 .

• This is an additive index.1 86.0 183. which starts at zero and can go negative.BARCLAYS CAPITAL INDICES Rates: Tracking the slope of the US Treasury Yield Curve Overview Style Access Beta Featured Index US Treasury 2Y/10Y Yield Curve Bloomberg BXIIUSTP Live Date Dec 2009 β α Index performance 350 300 250 200 150 100 50 0 -50 -100 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 UST 2Y/10Y Yield Curve Index 10Y yield minus 2Y yield (RHS) 3.0 59.0 -48. Dev. It does not compound and reflects unfunded investment.1 Last 12 Months -5.5 14.0% • Barclays Capital US Treasury 2y/10y Yield Curve Index reflects investments in 2y and 10y futures positions.5% 1. 2010 Statistic Avg.3 61. and the underlying futures roll quarterly.7 70.0% 2.5% 2. weighted to target a change in index level of 1 point per basis point increase in the 2y/10y slope of the yield curve. of level changes Best monthly change Since Inception 22. Source: Bloomberg. annual change in level Annual Std. • The index rebalances monthly to maintain target exposures. As such.0% 0.5% 3. 1990-2010 Recession 3% Peak Yield Curve Slope Historical performance: As of December 31.0% -0.0% 1.9 -16.5% -1.5% 0. Barclays Capital 2y/10y curve and US economic cycles.8 2% 1% Worst monthly change Worst drawdown change 0% Source: Barclays Capital -1% 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 Source: Barclays Capital INVESTABLE INDICES RATES 51 . the index level at a given point in time approximates the basis point differential between the 10y and 2y yield.

76% Source: Barclays Capital INVESTABLE INDICES RATES 52 . • The BPX indices are in excess return format and are available for the EUR.02% 33.31% 16.19% -3. Implied BP Vol BPX Index (RHS) EUR 10y10y Implied BP Vol (scale not shown) Rolling 26wk Correlation of changes (LHS) 100% 190 170 80% 150 130 110 60% 2005 90 2006 2007 2008 2009 2010 230 210 Historical performance: As of December 31.48% Last 12 Months 16.19% 1. 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Correlation of 10y10y BPX return vs. GBP.48% 0.10% -15. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 10. Available maturities vary from 2y/5y out to 15y/15y including most intermediate combinations. and USD swaption markets.11% 15.09% 17.BARCLAYS CAPITAL INDICES Rates: Tracking swaption volatility markets with BPX Overview Style Featured Index Bloomberg BXIIE00B Live Date Jun 2008 EUR BPX 10Y/10Y Interest Rate Alternative Beta Volatility ER β α Index performance 210 190 170 150 130 110 90 2004 EUR BPX 10Y/10Y ER Index • The BPX indices track the performance of exposure to implied basispoint volatility in swaptions markets.0 12. By investing in rolling swaption straddle positions while going short corresponding underlying annuities. the indices generate returns that are highly correlated with the return of changes in implied basis-point volatility.6 13.

6 4.87% -0. Source: Barclays Capital Consistent and Divergent policy modes 7% 6% 5% 4% 3% 2% 1% (1) Consistent Policy 2002 2003 2004 2005 2006 2007 2008 2009 2010 (2) Divergent Policy Fed Funds Target Rate ECB Main Refinancing Rate Historical performance: As of December 31.61% 1. CRYSTAL will take a spread position.BARCLAYS CAPITAL INDICES Rates: Trading the EURO-USD spread with CRYSTAL Overview Style Alpha Featured Index CRYSTAL ER Bloomberg BXIICYXI Live Date Sep 2009 β α Index performance 190 180 170 160 150 140 130 120 110 100 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 CRYSTAL ER Index • Monetary policy cycles in the US and in Europe have historically exhibited extended periods of synchronous and asynchronous behavior.13% 1. The Barclays Capital CRYSTAL index is designed to exploit such phenomena: (1) Consistent policy mode: When CRYSTAL signals indicate a bias for European and US rates to move in the same direction. CRYSTAL will take a directional rates position.96% 3.3 0. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 4.43% 0% 1999 2000 2001 Source: Barclays Capital INVESTABLE INDICES RATES 53 . (2) Divergent policy mode: When CRYSTAL signals indicate a bias for European and US rates to move in opposing directions.32% Last 12 Months 2.88% 6.47% -2.69% 1.12% 1.

30% 2.08% 1.44% 1. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 2.49% -1. • The strategy is designed to perform throughout the monetary policy cycle by dynamically switching position in each of the two markets from long to short in the forward rate contracts using a money market signal.8 0. • The index is constructed using the “front red” interest rate future contracts which relate to the 3M Libor 1yr forward rate.86% -0.91% Last 12 Months 1.32% 1.77% 1.32% 0.19% Source: Barclays Capital INVESTABLE INDICES RATES 54 .3 1.BARCLAYS CAPITAL INDICES Rates: Exploiting term premium with Exceed Overview Style Alpha Featured Index Atlantic Exceed ER Bloomberg BXIIEXMA Live Date Jan 2008 β α Index performance 135 130 125 120 115 110 105 100 95 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Atlantic Exceed ER Index • The Barclays Capital Atlantic Exceed exploits the term premium observed in the short end of an upward-sloping yield curve by taking positions in US and Euro futures markets. Source: Barclays Capital Historical USD Strategy Positions 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% 1990 -2 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 -1 0 1 3M USD LIBOR Allocation (RHS) 2 Historical performance: As of December 31.

EUR.BARCLAYS CAPITAL INDICES Rates: Global Target Exceed Overview Style Alpha Featured Index Global Target Exceed ER Bloomberg BXIIEXGT Live Date May 2009 β Index performance 170 160 150 140 130 120 110 100 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Global Target Exceed ER Index α • The Barclays Capital Global Target Exceed Index exploits the term premium observed in the short end of an upward-sloping yield curve by taking positions in USD.95% 2. GBP and JPY futures markets.6 1. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 3.59% 1.23% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital INVESTABLE INDICES RATES 55 .84% 2.37% -0.24% Last 12 Months 4.64% 3.52% -1.56% 2. • The strategy is designed to perform throughout the monetary policy cycle by dynamically switching position in each of the two markets from long to short in the forward rate contracts using a money market signal and a “risk-reward signal”.5 2. Source: Barclays Capital Forward rates tend to overestimate actual short rates 6% 5% 4% 3% 2% 1% 0% 2000 3m Euribor Forwards 3m Euribor Historical performance: As of December 31.86% 1.

BARCLAYS CAPITAL INDICES Rates: Dynamic swap curve positioning -TrendStar+ Overview Style Alpha Featured Index TrendStar+ USD ER Bloomberg BXIITSTP Live Date Feb 2009 β α Index performance 230 210 190 170 150 130 110 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 TrendStar+ USD ER Index • Barclays Capital TrendStar+ is a curve strategy that attempts to earn any carry and rolldown available from a durationneutral 2s10s steepener on the US swap curve.6 1.92% 4.steepener or flattener Steepener 4% 3% 2% 1% 0% -1% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Swap Curve 2s10s Slope Historical performance: As of December 31.16% Last 12 Months 6. • The strategy reverses to a flattener when short-term rates are expected to rise.1 7.94% -6.69% 5. The short-term rate expectations are assessed using a proxy 3m OIS rate backed out from the fed fund futures strip. Source: Barclays Capital Historical strategy positions .53% 10.08% 1.76% 6.41% Source: Barclays Capital INVESTABLE INDICES RATES 56 .88% -2. • The signal is based on the observation that the slope tends to flatten when short-term rates are rising.44% 1. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 6.

1 5.24% -1.00% 1. This approach assigns lower weightings to highvol strategies.17% 4.10% 4.51% Last 12 Months 5.65% -2. • The PRISM index targets a 2% risk contribution per index and a 4% portfolio risk cap.combining rates alpha strategies Overview Style Alpha Featured Index PRISM ER Bloomberg BXIIPMER Live Date Sep 2009 β α Index performance 270 250 230 PRISM ER Index • Barclays Capital PRISM is a strategy combination framework that assigns monthly weights based on an equal volatility contribution.12% 4.26% 2.exploiting term premium in the front end of the yield curve. • The PRISM index is the first application of the framework on three fundamentally motivated rates strategies: 1) Barclays Capital Atlantic Exceed . 210 190 170 150 130 110 90 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Historical performance: As of December 31.BARCLAYS CAPITAL INDICES Rates: PRISM .long / short TIPS strategy that uses current and expected inflation signals to forecast flows between TIPS and nominal treasuries.3 2.51% INVESTABLE INDICES RATES 57 .78% 4.taking steepening or flattening positions in the 2y/10y part of the curve based on trends in short rates 3) Barclays Capital AIMS . 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 8. Additionally. a portfolio volatility cap reduces weightings in distressed situations in which correlations tend toward one. with a signal to go short in rising rate environments 2) Barclays Capital TrendStar+ .

BARCLAYS CAPITAL INDICES Inflation: Overview and Classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 58 he ro -t ke t M Va l Ca β Inflation Swaps INSPIRE Access to inflation swaps in various markets Synthetic replication of inflation in Canada and Australia Long/short strategy in TIPS based on anticipated flows AIMS α INVESTABLE INDICES INFLATION M M Index Description Tr en d ac rr ue ar y .

94% Client Fixed Breakeven + ZC inflation swap (IS) Fixed Nominal Rate = Barclays Capital Source: Barclays Capital Actual Inflation ZC Real rate swap INVESTABLE INDICES INFLATION 59 . • ER indices are generated from pure swap performance based on NPV calculated using standard market conventions. • These tradable indices can be combined to hedge or replicate liability profiles sensitive to inflation and rates. 2010 Statistic Barclays Capital ZC interest rate swap Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception -1. Barclays Capital Real rate Swap structure Compounded Libor Historical performance: As of December 31.05% -0.37% 6.13% -0.21% Last 12 Months -4.BARCLAYS CAPITAL INDICES Inflation: Inflation Swaps Index Family Overview Style Access Beta Featured Index Inflation Swap Zero Coupon 10 YR USD ER Bloomberg BSWIZU10 Live Date Nov 2007 β α Index performance 105 100 95 90 85 80 2006 US 10Y Inflation Swap Index 10Y BEI Swap Rate (RHS) 140 120 100 80 60 40 20 0 -20 2007 2008 2009 2010 • Monthly rebalancing zero-coupon inflation (receiving inflation) and rate swap indices in G4 and AUD for various tenors.37% -5. TR versions assume an additional cash component earning Libor.83% 14. They can also be used as components in strategy index products.06% -2.2 3.24% 6.73% 8. Source: Bloomberg.7 3.

BARCLAYS CAPITAL INDICES Inflation: INSPIRE – Replicating expected inflation Overview Style Featured Index Bloomberg BXIIAII1 Live Date Feb 2009 Beta Replication AUD INSPIRE ER β α Index performance 108 106 104 102 100 98 96 94 92 90 2004 0 2005 2006 2007 2008 2009 2010 1 3 2 4 INSPIRE AUD ER Index AUD Govt.36% 15.06% Last 12 Months -4. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Since Inception -0. and EUR.8 2. • The weights are obtained monthly through the proprietary INSPIRE cost constrained optimization model.2 3. UK.25% -2. currently available in excess return versions of 5yr. Inflation-Linked >10Y Maturity BEI (RHS) 5 • The AUD INSPIRE Index is designed to provide synthetic inflation protection for Australia using an optimized weighted combination of actively traded and liquid inflation swap indices from the US.09% 4. UK.95% INSPIRE optimization framework Find optimal linear combination of core countries' breakevens that Inflation replicate inflation measure in Australia measures and breakevens Optimised weights IM AUD Core Countries US. Source: Barclays Capital Historical performance: As of December 31. which dynamically replicates a forward interest rates-based Australian inflation measure by combining inflation swap breakevens from the US.61% -6. EUR INSPIRE optimisation model ω AUD INSPIRE Index Worst drawdown Source: Barclays Capital BE Source: Barclays Capital INVESTABLE INDICES INFLATION 60 . UK. and EUR.98% -0. • The AUD INSPIRE Index can be used to replicate expected inflation in Australia at various tenors.74% 4. and 20yr maturities. 10yr.35% 7.91% -0.

0 5.75% 5.00% 4.5 2.04% 4.47% 8. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 5.71% Last 12 Months 2.97% 1.BARCLAYS CAPITAL INDICES Inflation: AIMS – Enhancing the performance of TIPS Overview Style Enhanced Beta Featured Index Algorithmic Inflation Momentum Switching (AIMS) USD ER Bloomberg BXIIAIMS Live Date Mar 2008 β α Index performance 210 190 170 150 130 110 90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 AIMS USD ER Index • Barclays Capital AIMS seeks to enhance returns generated by a long-only portfolio of inflation securities.68% -1.38% 2% 1% Best monthly return Worst monthly return 0% Worst drawdown Source: Barclays Capital -1% 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital INVESTABLE INDICES INFLATION 61 .84% -3.39% 0. • The strategy takes long or short monthly swap positions on the Barclays Capital US government inflation-linked bond index based on a signal measuring expectations of market flows from nominal to inflation-protected bonds. • The signal is based on two factors which attempt to capture the likelihood of investors switching to inflation-protected: CPI y/y print relative to its previous value US swap 2s10s slope relative to its previous value Source: Barclays Capital Swap curve steep when inflation expected to increase 3% LT B/E inflation significantly above ST B/E Swap Curve 2s10s Slope Historical performance: As of December 31.

BARCLAYS CAPITAL INDICES Credit: Overview and Classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 62 he ro -t ke t M Va l Ca β Credit Beta (Swaps) NEMO Access to European and US benchmark portfolio CDS Capturing trends in European iTraxx CDS spreads Steepener or flattener positions in EUR iTraxx Crossover BLSC α INVESTABLE INDICES CREDIT M M Index Description Tr en d ac rr ue ar y .

2010 Statistic Annual total return Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 2.12% 2.12% 50 0 2004 Worst monthly return Worst drawdown 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES CREDIT 63 .BARCLAYS CAPITAL INDICES Credit: Accessing liquid credit market beta Overview Style Access Beta Featured Index Long Credit Investment Grade CDX IG 5 YR USD TR Bloomberg BCRIU5IL Live Date Jan 2008 β α Index performance 125 120 115 CDX IG 5Y TR Index • The Credit Beta family of indices reflect the performance of rolling positions in on-the-run iTraxx and CDX portfolio default swaps. • The iTraxx Europe and Crossover portfolios represent the 125 most liquid investment grade companies and 50 most liquid high yield companies in Europe.36% 1. 110 105 100 95 90 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital 5y spreads on iTraxx and CDX portfolio default swaps 300 250 200 150 100 Series Roll CDX IG 5Y on-the-run spread iTraxx Europe 5Y on-the-run spread Historical performance: As of December 31.18% Last 12 Months 1. The CDX IG portfolio represents the 125 most liquid North American investment grade companies.6 0.1 2.95% 0.11% 2.51% -2. respectively.04% 7.51% 0.95% -1.17% 1.40% 0. These investments earn regular premiums in compensation for providing payments on default of any underlyings.

54% -0. The strategy takes long and short positions on the iTraxx Europe 5y CDS index contracts based on a daily signal which takes into account: Medium-term and intraday trend information Trading activity levels and transaction costs • The strategy is designed to perform well in periods of high volatility when other credit investments may underperform and serves as an alternative to buying credit options.41% 3.99% 3.2 2.28% 2.BARCLAYS CAPITAL INDICES Credit: Spread trend-following with NEMO Overview Style Featured Index Bloomberg BXIINEMO Live Date Dec 2009 Alternative Beta NEMO EUR TR β α Index performance 130 125 120 115 110 105 100 95 90 2007 NEMO EUR TR Index iTRAXX EUR 5Y TR • The Barclays Capital NEMO Index tracks the total return performance of the high-frequency trend-following strategy. 2008 2009 2010 Source: Barclays Capital NEMO signal process using trend and volume data 200 190 180 170 160 150 140 130 120 110 100 01 Apr '09 06 Apr '09 09 Apr '09 16 Apr '09 22 Apr '09 27 Apr '09 30 Apr '09 06 May '09 Hourly iTraxx trading activity (Scale not shown) Lo ng Sho rt Historical performance: As of December 31. 2010 Statistic Since Inception 5.5 0.90% 1.92% -0.47% -0.76% 1.59% 3.90% Annual total return Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Long / Short Protection Signal Lo ng Sho rt iTraxx 5y Intraday Quotes Medium term indicator Intraday Indicator Source: Barclays Capital INVESTABLE INDICES CREDIT 64 . NEMO.90% Last 12 Months -0.58% -1.

• The strategy is biased toward a positive-carry earning steepener position but uses fundamental market signals to switch to a flattener position in periods of expected higher risk.90% 0. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 0.24% -1.71% 9.44% 2005 2006 2007 2008 2009 2010 Source: Barclays Capital INVESTABLE INDICES CREDIT 65 . Source: Barclays Capital BLSC positions through the credit cycle 150 100 50 0 -50 -100 -150 -200 -250 2004 Flattener Steepener Allocation iTraxx Xover 5s10s Historical performance: As of December 31.41% Last 12 Months -2.08% 2.BARCLAYS CAPITAL INDICES Credit: Trading the curve through the cycle with BLSC Overview Style Alpha Featured Index BLSC EUR ER Bloomberg BCRIELSE Live Date Jan 2008 β α Index performance 112 110 108 106 104 102 100 98 96 94 2004 2005 2006 2007 2008 2009 2010 BLSC EUR ER Index • The Barclays Capital Long-Short Credit (BLSC) index reflects the performance of a quantitative strategy that takes duration neutral steepener and flattener positions on the iTraxx Crossover 5y10y index curve spread.97% -3. • The strategy rebalances monthly to maintain duration exposure and rolls every six months to the on-the-run iTraxx Crossover contracts.9 1.0 2.46% -0.30% 2.19% 3.

BARCLAYS CAPITAL INDICES FX: Overview and Classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 66 he ro -t ke t M Va l Ca β Liquid Basket Borrowing Units Tradeweighted FX CPCI Tracking most traded currencies against US Dollars Aiming to build a 0% interest rate currency Long or short USD or JPY versus trade-weighted FX basket Tracking currencies of commodity-producing countries Identifying over.and underpriced currency volatilities Long high-yielding versus lowyielding G10 currencies Identifying over. and undervalued currencies Identifying currency trends and reversion Dynamic portfolio of Carry. Trend and Value strategies FX Volatility Intelligent Carry (ICI) FX Value Adaptive Trend FX Switch α INVESTABLE INDICES FOREIGN EXCHANGE M M Index Description Tr en d ac rr ue ar y .

47% GBP. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Liquid Basket Weights (Oct 2010) CHF.35% Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 67 .09% -6.18% Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital JPY.98% 8. Euro (EUR).49% -0.3 4. • The weightings of these currencies reflect the relative significance of the latest trade settlement volumes.53% AUD. British Pound (GBP) and Japanese Yen (JPY).89% 15. -8.47% -0.95% Last 12 Months -3.10% 10. Swiss Franc (CHF).57% -4. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio EUR.4 6. • The basket is constructed based on settlement data from the Bank for International Settlements (BIS) and currently consists of five currencies: Australian Dollar (AUD). -22. -15.BARCLAYS CAPITAL INDICES FX: Liquid Basket Overview Style Beta Featured Index Liquid Basket USD ER Bloomberg Live Date BXIILIEU Oct 2010 β Index performance 130 120 110 100 90 80 70 60 2000 Liquid Basket USD ER Index α • The Barclays Capital Liquid Basket Index is designed to track the performance of a portfolio of weighted short positions in five of the most actively traded currencies versus the US Dollar.49% 42.00% Since Inception -2. -46. expressed through 1-month cash settled FX forwards.94% Historical performance: As of December 31. -7.

2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception -1.BARCLAYS CAPITAL INDICES FX: Borrowing Units Overview Style Featured Index Bloomberg Live Date BXIIGBU Oct 2006 Alternative Beta Global Borrowing Unit ER β Index performance 125 120 115 110 105 100 95 90 85 80 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Global Borrowing Unit ER Index α • The Barclays Capital Borrowing Unit Index family has been designed to provide savings over 1M Libor borrowing rates by utilizing the carry generated by a portfolio of currencies.57% 31.3 4.75% Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 68 .987% 0% -2% -4% -6% -8% EUR USD JPY GBP CHF CAD -6.904% 0.54% 0. • The Borrowing Unit indices are available in different currencies (USD.26% 0.672% 3.507% 0.68% -5.421% -1.612% AUD NZD SEK NOK -0.665% 0. GBP and DKK).63% -0.49% Last 12 Months -0. • The interest rate of each unit is the weighted average of the optimized G10 portfolio.358% -0. Source: Barclays Capital Global Borrowing Unit Weights (January 2011) 6% 4% 2. The portfolio is rebalanced monthly to reflect Libor rate changes while minimizing portfolio volatility.38% -1.520% Historical performance: As of December 31.09% -0.4 0. EUR.55% 4.151% 2% 0.

82% 6.49% CNY. • The basket of currencies is determined by the composition of the U.79% BRL. 18. 19.61% GBP. 16.43% CAD. of the U. • These indices are designed to target a fixed volatility and are available in both total return and excess return versions.92% 14.02% KRW.3 4.56% 0.93% Historical performance: As of December 31.54% SGD.59% JPY. respectively.00% -5.68% INR.58% Last 12 Months 0. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Currency Basket Weights for 2011 EUR.BARCLAYS CAPITAL INDICES FX: Trade Weighted US Dollar Indices Overview Style Featured Index Bloomberg Live Date BXIIDDEU Feb 2009 Alternative Beta Dollar Diversification Index US ER β Trade Weighted USD ER Index α Index performance 140 130 120 110 100 90 80 2000 • The Trade-Weighted Dollar Diversification Index and the Dollar Bull Index are tradable indices intended to reflect the depreciation or appreciation.’s key trading partners.1 2. The weights of these countries’ currencies in the basket have changed over time. 4. 22.S.07% MXN. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 1.S. 2. Dollar against a trade-weighted basket of other currencies. 2.73% 5. 2.02% 0. 7.46% Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 69 .55% 5. reflecting changing trade balances of other countries with the U. 3.98% -3.S.

60% 10. • The CPCI indices track the performance of long positions in six equally weighted currencies (AUD.17% 27. 16. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 8.67% AUD.72% Last 12 Months 8. EUR. 16. and ZAR) versus the U. 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital CPCI Weights ZAR.8 5. NOK.67% RUB. JPY.S. 16.97% NOK. CAD.BARCLAYS CAPITAL INDICES FX: CPCI – Commodity Producers Currency Index Overview Style Featured Index Bloomberg BXIIC6EU Live Date Feb 2010 Alternative Beta CPCI 6-Ccy USD ER β α Index performance 230 210 190 170 150 130 110 90 2002 CPCI USD ER Index • The Commodity Producers Currency Indices are designed to provide an investor exposure to the performance of commodityproducing countries’ currencies versus the U.S. RUB.90% -12.61% 0. 16.67% BRL. 16. 16.67% Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital CAD. expressed through 1-month cash settled forward rate agreements. BRL. dollar.67% Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 70 . dollar. SGD.78% 0.66% 9.50% 8.44% -5. • Investors can choose between two version of the indices – one with fixed volatility targeting and the other without volatility targeting – and between Total Return and Excess Return versions expressed in AUD. or USD.67% Historical performance: As of December 31.9 7.

91% 3. • In the Alpha Vol strategy a systematic mean optimizer model is run to determine the weights of each of the forward volatility agreements in the index.1 2. based on pre-defined risk and return parameters. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Historical performance: As of December 31.67% Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital USDCAD USDCHF USDJPY AUDJPY EURJPY EURNOK AUDUSD EURGBP EURSEK EURUSD GBPUSD EURCHF Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 71 .98% -0.77% -4.52% 1.BARCLAYS CAPITAL INDICES FX: FX Volatility Index Overview Style Featured Index Bloomberg BXIIAEUS Live Date Jan 2009 Alternative Beta Alpha Vol USD ER β Index performance 160 150 140 130 120 110 100 90 2000 Alpha Vol USD ER Index α • The Barclays Capital FX Volatility Index family takes long and short positions in forward volatility agreements for the G10 currencies.25% Last 12 Months 6.33% 9.67% 66.96% 1.2 1. • The Beta Vol and sBeta Vol strategies use a systematic ranking model that generates buy or sell signals based on the expected return of each asset. 2010 Statistic Annual excess return Since Inception 3.17% 2.89% 3.80% Alpha Vol Index Currency Weights (June 2010) 100% 75% 50% 25% 0% -25% -50% -75% -100% -66.

92% -30.95% -6.22% Last 12 Months 3.33% 4.77% 24.96% -2.09% 0.11% -25. • The weights assigned to the G10 positions are chosen through an optimization technique that targets the risk on the strategy.44% Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 72 .78% -4.76% Historical performance: As of December 31.8 4. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Index Currency Weights (January 2011) 100% 75% 50% 25% 0% -25% -50% -75% -100% AUD CAD CHF EUR GBP JPY NOK NZD SEK USD -3.24% -5. • The index aims to provide investors with optimized long/short exposure to G10 money-market instruments and earn yield differentials observed between markets.BARCLAYS CAPITAL INDICES FX: ICI – Intelligent Carry Index Overview Style Enhanced Beta Featured Index ICI USD ER Bloomberg BXIICRUS Live Date Jun 2006 β Index performance 210 190 170 150 130 110 90 2000 ICI USD ER Index α • The Intelligent Carry Index is intended to reflect the performance of the Intelligent Carry Strategy.18% 60.45% 5.85% -15.81% 6.09% 6.50% 0.74% 6.7 1.41% 13. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 4.

25% Note: Chart for illustration only – Actual historical strategy positions may differ.26% -3. • The underlying portfolio rebalances monthly. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 2.4 9.25% 10.2 2. respectively.95% -1. to decide when currencies are undervalued or overvalued. Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 73 . such as Purchasing Power Parity (PPP) Theory.78% -4.BARCLAYS CAPITAL INDICES FX: FX Value Convergence Index Overview Style Alpha Featured Index FX Value Convergence USD ER Bloomberg BXIIVEUS Live Date Jan 2009 β Index performance 150 140 130 120 110 100 90 2000 FX Value Convergence USD ER Index α • Long-term currency investors tend to rely on a valuation benchmark. • The FX Value Convergence Index takes long and short positions in G10 currencies while targeting a volatility of 5%. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital USDJPY Value Convergence Illustration 200 180 160 140 120 100 80 60 40 20 0 1990 1992 1994 Periods of dollar appreciation converging toward PPP-implied fair value 1996 1998 2000 2002 2004 2006 2008 2010 USDJPY Spot Rate USDJPY PPP Rate Historical performance: As of December 31.88% 0. taking long and short positions on currencies deemed to be converging back to their PPP-based fair value from being undervalued and overvalued.38% 5.61% Last 12 Months -7.20% 5.63% 10.

46% 0.0 1. • Long and short currency positions are set according to moving averages and volatility analysis and are adjusted by scaling according to volatility. Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 74 .98% 3.28% 5. invests in G10 currencies and rebalances daily.BARCLAYS CAPITAL INDICES FX: Adaptive FX Trend Overview Style Alpha Featured Index Adaptive FX Trend USD ER Bloomberg BXIIATEU Live Date Sep 2008 β Index performance 160 150 140 130 120 110 100 90 2000 Adaptive FX Trend USD ER Index α • The Adaptive FX Trend index attempts to capture alpha by identifying trends and trend reversals in the foreign exchange markets. • The index targets a volatility of 5%.25% -0.92% Last 12 Months -0.04% 2. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Example trend identification for USDJPY 105 100 95 90 85 80 75 Jan 09 Spot FX Short Mov Avg Med Mov Avg Long Mov Avg Historical performance: As of December 31.88% -3.6 4. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 3.81% 0.37% Apr 09 Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Oct 10 Note: Chart for illustration only – Actual historical strategy positions may differ.93% 8.

2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Dynamic Allocation Strategy of Switch Favorable Carry Environment Unfavorable Carry Environment Historical performance: As of December 31.25% 3. • Total Return and Excess Return formats are both available.90% -3. 2010 Statistic Annual excess return Since Inception 4. and the Adaptive FX Trend Index.17% 1.2 3.41% Last 12 Months -0.06% 4.61% 7.04% -0.1 1.21% -2. however. foreign currency versions are also available. the FX Value Convergence Index. The index is calculated in EUR.73% Trend 25% Carry 50% Value 25% SWITCH Trend 50% Value 50% Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES FOREIGN EXCHANGE 75 . • During unfavorable carry environments – when volatility is high and interest rate differentials are low – the strategy switches the weights allocated to the underlying strategy indices.92% 4.BARCLAYS CAPITAL INDICES FX: FX Switch Overview Style Alpha Featured Index FX Switch USD ER Bloomberg BXIISWEU Live Date Apr 2010 β Index performance 170 160 150 140 130 120 110 100 90 2002 FX Switch USD ER Index α • The Barclays FX Switch Index utilizes market environment signals to dynamically allocate weights between three underlying FX index strategies – the Intelligent Carry Index (ICI).

BARCLAYS CAPITAL INDICES Commodities: Overview and Classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 76 he ro -t ke t M Va l Ca β BCI BGCI (Carbon) Pure Beta S2 Momentum Alpha Multi Strategy Voyager Backwardation Providing a broad-based commodities benchmark index Tracking investments in most liquid carbon credit schemes Targeting tracking of nearby futures avoiding distortions Targeting outperforming points on term structure Applying distinct strategies to individual commodity sectors Seeking to generate absolute commodity returns Exposure to scarce commodities implied by backwardation Strategy going long Momentum Alpha and short nearby α ComBATS INVESTABLE INDICES COMMODITIES M M Index Description Tr en d ac rr ue ar y .

16% BCI Agriculture Annual excess return volatility Sharpe ratio BCI Livestock BCI Industrial Metals BCI Energy BCI Precious Metals BCI Grains & Oil seeds BCI Softs Best monthly return Worst monthly return BCI Trade-Weighted Index Source: Barclays Capital Worst drawdown Source: Barclays Capital INVESTABLE INDICES COMMODITIES 77 .1 8.11% 18.91% 19.17% -8. The index imposes sector. two benchmarks are available: BCI and BCI Trade-Weighted.45% 58.17% -24.53% 14. • The BCI uses liquidity as the criterion for commodity selection and index weighting. 2010 Statistic Annual total return Annual excess return Since Inception 12.and commodity-level weight caps on top of the liquidity weighting to provide investors with a diversified exposure to commodity markets.30% 9.69% 17.5 15.BARCLAYS CAPITAL INDICES Commodities: Barclays Capital Commodities Index Overview Style Access Beta Featured Index BCI USD TR Bloomberg BCC1C10T Live Date Jan 2011 β α Index performance 700 600 500 400 300 200 100 0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 BCI USD TR Index BCI Trade-Weighted USD TR Index • The Barclays Capital Commodities Index (BCI) is intended to be representative of the tradable market in USD commodity futures and it has been constructed to offer a benchmark for commodity investors.16% 1. Source: Barclays Capital BCI Index Family Barclays Capital Commodity Index (BCI) Historical performance: As of December 31.10% Last 12 Months 19. • To cater for different investment objectives.56% 0.

26% -0. Certified Emission Reduction (CER).38% 16. European Union Allowance (EUA).07% 29.4 24. the index includes two schemes: i) EU ETS Phase II and ii) Kyoto Clean Development Mechanism (CDM). Sharpe ratio Other schemes as they become eligible .. The index expects to incorporate new schemes as they develop around the world.02% 71. 2010 Statistic Annual excess return Annual excess return volatility Since Inception -2.04% 0.1 24.48% 39.BARCLAYS CAPITAL INDICES Commodities: A benchmark for carbon – BGCI Overview Style Access Beta Featured Index Emissions BGCI USD ER Bloomberg BXIIGCUP Live Date Dec 2007 β α Index performance 210 190 170 150 130 110 90 70 50 2006 Global Carbon USD ER Index • The Barclays Capital Global Carbon Index (BGCI) measures the performance of the most liquid carbon-related credit schemes and is designed to be an industry benchmark for carbon investors.36% -25.54% Scheme EU Emissions Trading Scheme Phase II. 2007 2008 2009 2010 Source: Barclays Capital Global Carbon Index Structure Global Carbon Index Historical performance: As of December 31. Source: Barclays Capital INVESTABLE INDICES COMMODITIES 78 . Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Carbon instrument Futures Contract traded on European Climate Exchange (ECX).. • At inception.19% Last 12 Months 11.36% -7. Kyoto Clean Development Mechanism. Futures Contract traded on European Climate Exchange (ECX). • Each scheme included in the index is represented by the most liquid instrument available in the marketplace.

2010 Pure Beta on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility ComBATS Custom Baskets Since Inception PB 11.67% 16. Barclays Capital Pure Beta Index Family Barclays Capital single commodity Pure Beta indices Historical performance: As of December 31.8 55.13% DJ-UBS 5. Source: Bloomberg.7 5.35% 57.0 Pure Beta applied to benchmarks and sub-indices S&P GSCITM S&P GSCI Light Energy S&P GSCITM Livestock TM Long/long-short index baskets 16.87% 1.1 14.97% 1.96% 1.39% 2.37% 17. • The indices are constructed around the concept of providing the best proxy for the average price return of the front-year futures for each commodity while avoiding parts of the curve that are subject to persistent market distortions.BARCLAYS CAPITAL INDICES Commodities: Redefining commodity beta with Pure Beta β Overview Style Enhanced Beta Featured Index Pure Beta DJ-UBSCI SM α Index performance Bloomberg Live Date ER BCC3C1PP Oct 2009 40% 30% 20% 10% 0% -10% -20% -30% -40% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Pure Beta on DJ-UBSCI ER DJ-UBSCI ER • Barclays Capital Pure Beta indices are designed to provide a representative measure of commodity market returns while retaining the ‘tradability’ of standard commodity benchmarks.21% 0.42% 15. • Each month.38% 1.27% Last 12 Months PB 18. Pure Beta uses a multi-step selection process to assess the relevance of different forward contracts and to select a single tenor for each commodity.13% 0.86% DJ-UBS 16.91% 15.3 DJ-UBS Cdty IndexISM DJ-UBS CISM Agriculture Sharpe ratio Annual Alpha DJ-UBS CISM Energy Tracking Error Information Ratio Worst drawdown Total and excess return versions available Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES COMMODITIES 79 .2 1.83% 1.

13% 15. 2010 MA on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility Sharpe ratio Since Inception MA 11.BARCLAYS CAPITAL INDICES Commodities: Enhancing beta through term momentum Overview Style Enhanced Beta Featured Index Momentum Alpha DJ-UBSCI SM β α Index performance Bloomberg Live Date ER BCC3C1MP Apr 2008 5% 4% 3% Momentum Alpha on DJ-UBSCI ER Monthly Outperformance Outperformance Index (RHS) 190 170 150 130 110 210 • Barclays Capital Momentum Alpha aims to maximize outperformance relative to each nearby index through a dynamic commodity curve positioning process. Barclays Capital Momentum Alpha Index Family Barclays Capital Single Commodity Momentum Alpha Indices Momentum Alpha applied to benchmarks and sub-indices S&P GSCI S&P GSCI LE Historical performance: As of December 31.86% DJ-UBS 16.3 15.33% 1.0 Long or Long-Short Index baskets ComBATS 6 ComBATS 7 ComBATS 8 16.38% 1.51% 17.56% 2.67% 16.48% DJ-UBS 5.73% 57. 2% 1% 0% -1% -2% -3% -4% 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Bloomberg.69% 3.13% 0. • Available as single commodity indices and highly customizable.78% 1. sector. or alpha. or sub-index.7 53. • Momentum Alpha indices gain exposure to the point on the commodity term structure with the highest historical outperformance.0 -0.79% 15.21% 0.11% -0.3 DJ-UBSCI Annual Alpha Tracking Error DJ-UBS Energy DJ-UBS Metals ComBATS 9 Customised Information Ratio Worst drawdown Source: Barclays Capital Total and Excess Returns Versions Available Source: Barclays Capital INVESTABLE INDICES COMMODITIES 80 .27% Last 12 Months MA 16. • Momentum Alpha can be applied to any benchmark index.7 5.

57% 1.21% 0. 2010 MS on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility Sharpe ratio Annual Alpha Tracking Error Since Inception MS 12.19% 3.13% DJ-UBS 5.87% 15.34% 2.13% 0.54% 1. momentum alpha.38% 1.67% 16.57% 0.92% 17.2 1.86% DJ-UBS 16.7 53. • Strategies include roll yield maximization.3 Standard Index Methodology Gold Silver Information Ratio Worst drawdown Source: Barclays Capital Natural Gas INVESTABLE INDICES COMMODITIES 81 .25% 15. • Each commodity exhibits unique behavior and the MultiStrategy indices identify enhancements which are targeted to maximize beta returns at the individual commodity level.0 Corn Lean Hogs Soybean Oil Sugar 15. Source: Bloomberg.5 14.8 6.BARCLAYS CAPITAL INDICES Commodities: Multi-strategy enhanced beta Overview Style Enhanced Beta Featured Index Multi-Strategy DJ-UBSCI SM β α Index performance Bloomberg Live Date ER BCC3C1UP Feb 2010 500 450 400 350 300 250 200 150 100 50 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Multi-Strategy DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased) • Barclays Capital Multi-Strategy Indices implement a customized enhancement strategy for each sector in order to improve the risk-return profile. Barclays Capital Enhancements based on characteristic behavior Roll Yield Maximization Strategy Aluminum RBOB Gasoline WTI Crude Oil Nickel US Copper Zinc Momentum Alpha Strategy Coffee Cotton Live Cattle Soybeans Wheat Seasonal Strategy Heating Oil Source: Barclays Capital Historical performance: As of December 31.35% 57.27% Last 12 Months MS 18. and a seasonal enhancement.

45% 27.3 12.36% 12. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 16.BARCLAYS CAPITAL INDICES Commodities: Navigating commodity markets Overview Style Enhanced Beta Featured Index Voyager DJ-UBSCI SM β α Index performance Bloomberg Live Date USD ER BCC3C1VP Jun 2010 600 500 400 300 200 100 0 2000 Voyager DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased) • The Barclays Capital Voyager Index provides commodity investors with exposure to enhanced beta during normal market conditions.04% 14.05% Last 12 Months 16.13% -7. allowing the index to be response to trends in the markets. Barclays Capital Voyager Allocation Process Calculation of the Signal Signal Historical performance: As of December 31. • A signal based on technical factors is employed to switch from an enhanced beta (bullish) to alpha (bearish) allocation. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Bloomberg.11% Bullish Enhanced Beta Allocation Enhanced Beta Allocation Source: Barclays Capital Bearish Alpha Allocation Long Enhanced Beta Allocation/ Short nearby Index Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital INVESTABLE INDICES COMMODITIES 82 .20% -11.27% 1.89% 13.1 6. but switches to a market-neutral alpha allocation on a commodity-by-commodity basis if a bearish trend is detected.48% 1. • The signal is tested twice a month.

67% Last 12 Months 36.08% 18.44% 1.03% 17.38% Low inventories make the near contracts trade at higher prices Nearby Future Source: Barclays Capital Distant Futures Time to Expiry Worst monthly return Worst drawdown Source: Barclays Capital INVESTABLE INDICES COMMODITIES 83 .49% 14.91% -6.1 8.14% 2. backwardation and positive returns.BARCLAYS CAPITAL INDICES Commodities: Value investing using fundamental factors Overview Style Enhanced Beta Featured Index Backwardation ER Bloomberg Live Date BCCFBKLP Dec 2010 β α Index performance 1600 1400 1200 1000 800 600 400 200 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Backwardation USD ER Index DJ-UBSCI ER Index (Rebased) • In order to provide investors exposure to commodity strategies that take advantage of the concurrence between scarcity. Source: Bloomberg.4 14. Barclays Capital Backwardation in commodity futures curves Price Expectation of inventories returning to normal levels Historical performance: As of December 31. is widely accepted to be a good proxy for scarcity. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 25. and in particular the degree of backwardation of the curve. • The indices select commodities according to the degree of backwardation in order to identify scarce commodities and to benefit from their expected positive results. • The slope of the futures curve. Barclays Capital introduces the Backwardation Indices.61% -24.64% 52.

56% -9.5% -1. B rent Crude Heating Oil Co pper Lead Sugar So ybeans Lean Ho gs Live Cattle WTI Nickel Unleaded Gas Oil Historical performance: As of December 31.19% -5.68% 11.5% 2.5% 0. • The selected commodities are equally weighted and the sum of the absolute weights is 100%.42% Last 12 Months 13. • Commodities in backwardation have historically achieved higher returns.BARCLAYS CAPITAL INDICES Commodities: Fundamentals Series – Backwardation L/S Overview Style Alpha Featured Index Backwardation Long Short ER Bloomberg BCCFBKAP Live Date Dec 2010 β α Index performance 700 600 500 400 300 200 100 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Backwardation Long Short USD ER Index • The Barclays Capital Backwardation Long Short Index ranks a universe of 23 commodities on their degree of backwardation.04% 10.66% 15.3 9.0% Co tto n Co ffee Silver Go ld Kansas Wheat Wheat Natural Gas Co rn Co co a Zinc A lum.76% 1.0% 0.0% Average monthly return 1. It takes a long position in the six most backwardated commodities and shorts the six most contangoed/least backwardated commodities. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Since Inception 15.42% 1. Source: Barclays Capital Monthly average return vs. average slope (1999-2010) 2.53% -0.3 5.69% 11.0% -15% Contango -12% -9% -6% -3% 0% 3% Backwardation 6% 9% Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES COMMODITIES 84 . as seen in the figure below.5% 1.

65% -2.12% 0.60% 3. Source: Barclays Capital Commodity Weights Short: Nearby Indices Heating Oil Natural Gas WTI Aluminium Copper Nickel Zinc Wheat Lean Hogs Sugar -20% -15% -10% -5% 0% 5% 10% 15% 20% Long: Momentum Alpha Indices Historical performance: As of December 31.07% 5.64% Last 12 Months 0. • The Momentum Alpha indices measure the performance of holding and rolling futures contracts selected along the futures curve according to momentum of historical outperformance.94% -3.51% 4.BARCLAYS CAPITAL INDICES Commodities: Market-neutral alpha strategy Overview Style Alpha Featured Index ComBATS 6 ER Bloomberg BCCAC06P Live Date Jan 2009 β α Index performance 4% 3% 2% 1% 0% -1% -2% -3% -4% 2000 2001 2002 ComBATS 6 Monthly Excess Returns ComBATS 6 USD ER Index (RHS) 290 265 240 215 190 165 140 115 90 2003 2004 2005 2006 2007 2008 2009 2010 • The Barclays Capital ComBATS 6 Index reflects the performance of a market neutral alpha strategy that aims to exploit the curve shape based on the Momentum Alpha Strategy. • ComBATS 6 is comprised of a basket of ten commodity longshort pairs selected to provide a balance of sector and commodity weights.84% 2.05% Source: Barclays Capital INVESTABLE INDICES COMMODITIES 85 .90% 4.2 1. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 9.5 2.

BARCLAYS CAPITAL INDICES Equities: Overview and classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 86 he ro -t ke t M Va l Ca β Equity EM Series Chips Family Exposure to various thematic Emerging Market baskets Thematic access to quality stocks Capturing the premium in short-term mean reversion Strategy based on the turn-ofmonth effect in stock indices Capturing trends in a portfolio of European stock indices Quantitative methods applied to various strategic focuses ASTRO TOM™ Navigator Q Series α INVESTABLE INDICES EQUITIES M M Index Description Tr en d ac rr ue ar y .

44% 23.39% 0. Material and Telecom) in the CEEMEA region through liquid and tradable instruments. Consumer.01% 20.94% -12.6 18.30% 65.21% Last 12 Months 7.BARCLAYS CAPITAL INDICES Equities: EM Series – CEEMEA Sector Indices Overview Style Access Beta Featured Index CEEMEA Telecom Bloomberg BXIICEMT Live Date Oct 2009 β α Index performance 500 450 400 350 300 250 200 150 100 50 0 2004 2005 2006 2007 2008 2009 2010 Telecom Sector Index Consumers Sector Index Materials Sector Index Bank Sector Index Energy Sector Index • The purpose of the Barclays Capital CEEMEA Sector Indices is to provide exposure to five key equity sectors (Bank. Energy. each stock has to pass a screening process based on market capitalization and liquidity.34% -23. Source: Barclays Capital CEEMEA Selection Procedure Initial Universe Listed on the relevant exchanges Member of appropriate GICS sector Historical performance: As of December 31.00% 27. • The index determines the new stock selection once a year at the close of business on the first business day of August according to the relevant exchange calendars.08% Subject to liquidity filters Market Capitalisation Average Daily Turnover Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Selected constituents stocks INVESTABLE INDICES EQUITIES 87 . 2010 Statistic Annual price return Annual price return volatility Sharpe ratio Since Inception 17.3 9. • Before being included in an index.28% 0.

88% 20. India.95% -26. Russia. 2006 2007 2008 2009 2010 Source: Barclays Capital E7 Selection Procedure Initial Universe Historical performance: As of December 31. • Each stock included in the index passes a screening process based on market capitalization and liquidity. Indonesia and Turkey.36% 70. Brazil. Mexico. • The index rebalances twice a year on the second Monday in March and September according to the relevant exchange calendars.93% -6.94% 15.BARCLAYS CAPITAL INDICES Equities: EM Series – E7 Countries Overview Style Access Beta Featured Index E7 USD TR Bloomberg BXIIE7TU Live Date Jan 2010 β Index performance 400 350 300 250 200 150 100 50 2005 E7 USD TR Index S&P BRIC 40 Index (Rebased) MSCI EM Index (Rebased) α • The Barclays Capital E7 Equity Index is constructed to provide exposure to equity shares in the E7 countries: China.6 20.8 12.96% 0.02% Last 12 Months 20.90% 0.71% 31.82% Subject to Liquidity Filters Market Capitalisation >= USD 2bn Liquidity >= USD 20mln Annual excess return Annual excess return volatility Sharpe ratio Subject to Liquidity Ranking Best monthly return Worst monthly return Worst drawdown Selected Constituent Stocks Source: Barclays Capital INVESTABLE INDICES EQUITIES 88 .84% 20. 2010 Statistic Annual total return Since Inception 23.66% 24.

88% 21.96% -7.55% 63. but with less volatility and tail risk.10% 19. • The list of AEM countries is determined by the Barclays Capital Emerging Markets Research team with the aim of selecting countries with greater potential for solid future growth. 2006 2007 2008 2009 2010 Source: Barclays Capital AEM Selection Procedure Initial Universe Historical performance: As of December 31. • Current AEM countries are Singapore.68% 0. Korea.79% 14. China. South Africa.90% 0. 2010 Statistic Annual total return Since Inception 22.60% Subject to Liquidity Filters Market Capitalisation >= USD 2bn Liquidity >= USD 20mln Annual excess return Annual excess return volatility Sharpe ratio Subject to Liquidity Ranking Best monthly return Worst monthly return Worst drawdown Selected Constituent Stocks Source: Barclays Capital INVESTABLE INDICES EQUITIES 89 . Taiwan.47% Last 12 Months 20. Israel.BARCLAYS CAPITAL INDICES Equities: EM Series – Advanced Emerging Markets Overview Style Access Beta Featured Index Advanced EM USD TR Bloomberg BXIIAMTU Live Date Nov 2010 β α Index performance 400 350 300 250 200 150 100 50 2005 AEM USD TR Index S&P BRIC 40 Index (Rebased) MSCI EM Index (Rebased) • The Barclays Capital Advanced Emerging Markets (AEM) Equity Index is designed to provide exposure to advanced emerging market countries.79% 27. Chile.87% 19.9 10. Brazil.87% -30. Poland and the Czech Republic.7 20.

18% 3.44% 60.4 15.25% Last 12 Months 36.37% 7. 2010 Statistic Annual total return Annual excess return Annual excess return volatility Since Inception 10. liquidity and a specific thematic Chips factor. European Chips EUR TR Index US Chips USD TR Index Green Chips USD TR Index Black Chips USD TR Index UK Chips USD TR Index China Chips HDK TR Index Grey Chips USD TR Index Source: Barclays Capital Chips Index Family Country Exposure UK Chips US Chips China Chips European Chips UK founded with expected future earnings growth potential Innovative US stocks with high annual R&D expenditure growth Quality Chinese stocks Western European potential leading stocks Historical performance: As of December 31.45% 0. based on the P/E ratio and the Return on Common Equity ratio.BARCLAYS CAPITAL INDICES Equities: Chips – Thematic access to quality stocks Overview Style Access Beta Featured Index European Chips EUR TR Bloomberg BXIICETE Live Date Oct 2010 β α Index performance 450 400 350 300 250 200 150 100 50 0 2005 2006 2007 2008 2009 2010 • Barclays Capital Chips Indices are designed to provide exposure to quality stocks in various country.95% 9. • Before being included in an index each stock has to pass a screening process based on market capitalization.98% Sector Exposure Green Chips Grey Chips Environmentally friendly global stocks Global stocks involved in senior activities Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Investment Style Exposure Black Chips Source: Barclays Capital Global stocks with high dividends and low debt ratios INVESTABLE INDICES EQUITIES 90 . • The index then filters the remaining stocks for quality.79% -17.87% 36.2 7.28% 11. sector and investment themes through long-only investing.83% 19.57% -3.

Worst drawdown Source: Barclays Capital INVESTABLE INDICES EQUITIES 91 . is replicated by a delta hedging methodology.41% 2.18% 4.40% 20.15% Average Leveraged Delta The delta obtained from replicating 5 equally weighted rolling variance spread positions is leveraged and averaged across weekdays.76% 8. Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Cap Delta The absolute value of daily delta is capped at 150% and the absolute amount of delta that is rebalanced every day is also capped at 150%. Barclays Capital Historical performance: As of December 31. ASTRO Index Framework Replicate variance spread payoff The investment in rolling daily vs.51% 0. with capped delta exposure. weekly variance spreads. Source: Bloomberg. The index employs a delta hedging approach through a long or short position on the underlying index.6 18.2 1.63% -1.78% Last 12 Months 0.82% -5.BARCLAYS CAPITAL INDICES Equities: ASTRO – Algorithmic Short Term ReversiOn Overview Style Featured Index Bloomberg BXIIASUE Live Date Sep 2010 Alternative Beta ASTRO US ER β α Index performance 190 180 170 160 150 140 130 120 110 100 90 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 ASTRO US ER Index • The Barclays Capital ASTRO index is designed to take advantage of short-term mean reversion in equity markets by replicating the daily-weekly variance spread. each starting on consecutive weekdays across the week. • The index is available in Excess Return and Total Return formats.91% 0. 2010 Statistic Annual excess return Since Inception 5.

excess return.0 9.39% TOM TM Long/Short Strategy Illustration Month n 4 5 6 …… Last 10 days Last 3 days First 3 days Annual excess return volatility Sharpe ratio Strategy goes short 10 business days before month-end Strategy closes its short position four business days before month-end Strategy goes long Best monthly return Worst monthly return Worst drawdown Month n+1 First 3 days 4 5 6 …… Last 10 days Last 3 days Source: Barclays Capital Strategy sells the equity position three business days after beginning of following month Source: Barclays Capital INVESTABLE INDICES EQUITIES 92 .46% -7.94% 1.99% 1. TOMTM Index Family TOM TM Long TOM TM Long/Short 100 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 US S&P 500 UK FTSE 100 Europe DJ Euro STOXX 50 South Africa FTSE/JSE TOP 40 Source: Bloomberg. and total return versions are available Historical performance: As of December 31.85% 14.BARCLAYS CAPITAL INDICES Equities: TOMTM – Turn-Of-the-Month Index Overview Style Enhanced Beta Featured Index TOM™ EUR Long/Short ER Bloomberg BXIIEUSE Live Date Aug 2009 β α Index performance 800 700 600 500 400 300 200 TOM Long/Short Euro STOXX EUR ER Index TOM Long Euro STOXX EUR ER Index DJ EURO STOXX 50 ER (Rebased) • The Barclays Capital Turn-Of-the-Month Index Family is constructed to enable investors to access equity indices in a more efficient way than a traditional buy-and-hold approach. Barclays Capital Price return.0 22.18% 17. 2010 Statistic Annual excess return Since Inception 17.07% 10.08% -15.54% 23.30% Last 12 Months 14.

43% -0. which for each equity index out of a certain universe attempts to identify the current trend and selects the most appropriate position to be taken (long. IBEX 35 Total Return. DAX 30 Index. Barclays Capital Navigator Investment Allocation Procedure Determine if the index is mean reverting Detects the direction of a long-term market trend The final decision is based on realized volatility signal Historical performance: As of December 31.8 22.BARCLAYS CAPITAL INDICES Equities: Navigator – Capturing trends in stock indices Overview Style Alpha Featured Index Navigator EUR ER Bloomberg BXIINAVE Live Date May 2009 β α Index performance 600 500 400 300 200 100 0 2001 Navigator EUR Index ER DJ EURO STOXX 50 ER (Rebased) • The Barclays Capital Navigator EUR Index is designed to capture upward or downward trends in European Equity indices (DJ EURO STOXX 50 TOTAL Return Index®.55% -5. • This is done by using a quantitative model.41% 0. S&P/ MIB Total Return Index ).36% 13.89% Last 12 Months -11. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 14.47% -14.02% Uptrend + + Increasing Volatility = = LONG Worst monthly return Worst drawdown Source: Barclays Capital In MeanReverting Markets Downtrend Decreasing Volatility SHORT Source: Barclays Capital INVESTABLE INDICES EQUITIES 93 .61% 17.8 6.64% 27. 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Bloomberg. CAC 40 Total Return Index. short or neutral) over the next two weeks.82% 18.

12% 12. • The initial universe is filtered based on market cap and daily turnover.71% + Growth Rate & PE Ranking Basket of Top 25 Stocks Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES EQUITIES 94 .67% -5.00% 8. 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Bloomberg.0 8.62% 1. Remaining stocks are ranked and the top 25 selected. Barclays Capital Q-GSP selection procedure Q-GSP Model Growth Filter Initial Universe of Stocks Historical performance: As of December 31.98% -0. A growth filter is applied to select stocks that have positive historical annual growth and positive expected growth.77% 2.3 1. measured as the expected quarterly earnings per share for the next quarter minus the latest reported.52% Last 12 Months 6. 2010 Statistic Annual excess return Annual excess return volatility Since Inception 9.51% 2.BARCLAYS CAPITAL INDICES Equities: Q-GSP – Growth Stock Picking strategy Overview Style Alpha Featured Index Q-GSP Large Cap USD ER Bloomberg BXIIGUER Live Date Nov 2009 β α Index performance 300 250 200 150 100 50 0 1999 Q-GSP USD ER Index S&P500 (Rebased) • The Barclays Capital Q-GSP (Growth Stock Picking) Index is designed to extract value from growth stocks at a reasonable price through monthly optimization from a universe of stocks filtered through liquidity and growth metrics.80% 2.

75% 6.91% + CDP Ranking Basket of Top 25 Stocks Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES EQUITIES 95 . 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Bloomberg.51% Last 12 Months -5. • The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index. Barclays Capital Q-True Value selection procedure Q-TV Model Value Filter Initial Universe of Stocks Historical performance: As of December 31.71% 0. • The index rebalances monthly to capture the most recent market information for a universe of stocks filtered through a number of value metrics and subject to a CDP ranking.BARCLAYS CAPITAL INDICES Equities: Q-True Value – Value stocks with high quality Overview Style Alpha Featured Index Q-True Value Large Cap USD ER Bloomberg BXIIQVLE Live Date Oct 2010 200 150 100 50 0 2001 β α Index performance 250 Q-True Value Large Cap USD ER S&P500 (Rebased) • The Barclays Capital Q-True Value Index invests in value stocks with low default risk. 2010 Statistic Annual excess return Annual excess return volatility Since Inception 7.9 2.20% -5. as measured by the Barclays Capital Corporate Default (CDP) probability model.9 7.67% -2.20% 7.64% 6.95% 11.34% -0.

• The index rebalances monthly to capture the most recent market information for a universe of stocks filtered through a number of value metrics.66% 21. • The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index.4 1.04% 1.2 10. Barclays Capital Q-BES selection procedure Q-BES Model Value Filter Initial Universe of Stocks Historical performance: As of December 31.82% 10. 250 200 150 100 50 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Bloomberg.05% Last 12 Months 2.19% 5.59% + Earnings Surprise Test Basket of Top 25 Stocks Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES EQUITIES 96 .BARCLAYS CAPITAL INDICES Equities: Q-BES – Earnings Surprise strategy Overview Style Alpha Featured Index Q-BES USD ER Bloomberg BXIIQBEE Live Date Sep 2008 β α Index performance 400 350 300 Q-BES USD ER Index S&P500 (Rebased) • The Barclays Capital Q-BES indices take advantage of the market reactions to positive earnings surprises versus consensus estimates for US or European companies.62% 0.53% 8. 2010 Statistic Annual excess return Annual excess return volatility Since Inception 11.91% -3.53% -7.

2 4. Barclays Capital Q-MA selection procedure Initial Universe Selection Process Weights Determination Investment Historical performance: As of December 31.04% -1.89% 1.61% -3. • The strategy takes a long position in the target’s stock after a deal is announced and holds the position until completion or termination of the deal.87% 10.23% 1. 2010 Statistic Annual excess return Annual excess return volatility Since Inception 5.97% 5.23% Last 12 Months 6.88% 4.BARCLAYS CAPITAL INDICES Equities: Q-MA – Merger Arbitrage strategy Overview Style Alpha Featured Index US Q-MA USD ER Bloomberg BXIIQMUE Live Date Nov 2010 β α Index performance 160 140 120 US Q-MA USD ER Index S&P500 (Rebased) • The Barclays Capital Q-MA US Index is designed to provide investors exposure to potential arbitrage opportunities arising from the US merger and acquisitions market.1 6. • The long portfolio of target stocks is hedged with the S&P500 TR index to make the index market neutral.74% Deal Type Deal Size Exchange Country Risk Deal Risk Concentration Liquidity Expected Loss Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES EQUITIES 97 .95% 5. 100 80 60 40 20 0 2005 2006 2007 2008 2009 2010 Source: Bloomberg.

thematic baskets of EM bonds Tracking investments in EM interest rate swaps Exposure to various thematic Emerging Market baskets Tracking investments in 15 EM money markets Extracting term-premium from the KRW swap curve Extracting term-premium from the SGD yield curve α 1 Details of the Equity EM Series can be found in the Investable Indices Equities section. INVESTABLE INDICES EMERGING MARKETS M M Index Description Tr en d ac rr ue ar y .BARCLAYS CAPITAL INDICES EM: Overview and Classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 98 he ro -t ke t M Va l Ca β EM Tradable Bond Family EM Swaps Equity EM Series1 GEMS KRW Term Premium SGD Exceed Diversified. tradable.

08 14.10 -0.02 Realized TEV 0. Africa S.58 -2.70 -10.93 10.66 1. Barclays Capital GDP-Capped Country Weights: May 2010 10% 9% 8% 7% % of Index 6% 5% 4% 3% Hungary Uruguay Panama S.63 -0. of monthly returns 97. 2) Central Europe. by capping and flooring both the region and country exposures in the index according to the index rules.62 9.42 12.50 6.07 -0.BARCLAYS CAPITAL INDICES EM: Tradable Sovereign Bond Index Overview • The Barclays Capital Emerging Markets Tradable USD Sovereign Bond Index is a diversified basket index of dollar-denominated sovereign debt from EM issuers spanning three broad regions: 1) Latin America.51 1.99 Corr.32 10.07 24.14 Avg Monthly TEV -0.88 27. by including a single liquid bond from each eligible EM issuer.32 5. Source: Bloomberg.81 9.28 3. yet tradable. β 180 170 160 150 140 130 120 110 100 90 2004 2005 2006 2007 2008 2009 α Index performance EM Tradable USD Sovereign Index Broad EM USD-Sov Index • The basket is designed to be broad-based in its coverage of EM sovereign issuers. Korea Croatia Mexico 2% 1% 0% Philippines Venezuela Colombia Argentina Lithuania Indonesia Poland Turkey Russia Historical Annual Returns Asia LATAM EMEA Year 2H 2004 2005 2006 2007 2008 2009 1Q 2010 Jun 2004-1Q 2010 (Annualized) EM Tradable USD Sovereign Index Broad EM USDSov Universe Difference (MV weighted) 16.84 -0.70 3.60 -10. • The index is rebalanced annually and is differentiated by its use of Gross Domestic Product (GDP) as a measure of economy size to determine the relative weights of each country within the basket.94 -0. rather than using the market value of outstanding debt as in traditional benchmarks.5% Qatar Brazil Israel Peru Source: Barclays Capital UAE Source: Barclays Capital INVESTABLE INDICES EMERGING MARKETS 99 . and 3) Asia. and diversified. Middle East and Africa (EMEA).56 9.

by selecting a maximum of three bonds per country and rebalancing only semi-annually.02% 0.63% 4.06% 4.56% -6. β α Index performance Index Value 110 100 90 80 70 Jul-08 • EMLOCAL includes representative and liquid benchmark-eligible bonds from four different regions (Latin America. Asia.Korea Poland Russia Indo. and Middle East and Africa).23% 4.40% -3.44% 13. yet tradable.30% 11. in May and November.04% 0.Africa Turkey Average Monthly TE Realized Monthly TE INVESTABLE INDICES EMERGING MARKETS . • The index is designed to be broad-based in its coverage of local EM debt markets.68% EM Loc Currency Difference Govt Index (bps) -5.53% -5. Unhedged) ME & Africa Asia Eastern Europe Latin America Year 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 Aug 2008-Dec 2010 (Annualized) Source: Barclays Capital EMLOCAL Index -7.30% 4.29% 3. Jan-09 EMLO CALIndex Jul-09 Jan-10 Jul-10 EM Local CurrencyG Index ovt Source: Bloomberg. with caps and floors by both country and region to ensure diversification across markets. Eastern Europe.38% 8.44% -197 132 94 -35 40 -35 -69 -2 24 24 1 84 100 4% Thailand Malaysia S. comprised of debt from up to sixteen EM sovereign issuers.76% 12. Hungary Mexico Brazil 0% Source: Barclays Capital Israel Chile Peru 2% Egypt S. Barclays Capital Country Weights: November 2010 14% 12% 10% 8% 6% Czech Rep Historical Quarterly Returns (USD.99% 11.32% 7.75% -3.94% 3.BARCLAYS CAPITAL INDICES EM: Tradable Local Currency Bond Index Overview • The Barclays Capital Emerging Markets Tradable Local Currency Bond Index (EMLOCAL) is a tradable subset of the flagship EM Local Currency Government benchmark bond index.

95 65 12. Barclays Capital Country Weights: March 2010 Rebalancing Chile 5.27% 0.0% Poland 5. Israel will be eligible for inclusion in 2011.79% 15. yet tradable.Korea 5.BARCLAYS CAPITAL INDICES EM: EMTIL – EM Tradable Inflation Linked Index Overview • The Barclays Capital Emerging Markets Tradable Inflation Linked Index (EMTIL) is a tradable subset of the flagship EM Government InflationLinked (EMGILB) benchmark bond index.61 4. Mar-10 Source: Bloomberg. 180 160 140 120 100 80 60 Mar-07 Mar-08 Mar-09 β EMGILB Constrained α Index performance (USD. and Poland with a 25% country cap/5% floor to provide diversification. Unhedged) EMTIL EMGILB x Col x Arg (Constrained ) • EMTIL includes representative and liquid benchmark-eligible bonds from Brazil. • The index is designed to be broad-based in its coverage of local EM debt markets. by selecting between one and three bonds per country and rebalancing annually.24% 0.17% 0.47% 0.0% Source: Barclays Capital Historical Quarterly Returns (USD. Mexico. South Africa. Unhedged) EMTIL Index Annualized return (March 07-Sept 10) Annualized volatility Information ratio Tracking error Correlation with EMTIL # Bonds Source: Barclays Capital EMGILB EMGILB Ex Argy Ex Colom (constrained) 13.99 54 11.0% Mexico 25.92 1.25% 0.98% 15.2% S.15% 18.0% Brazil 25. • Index returns are calculated net of annual rebalancing costs. S.83 13 INVESTABLE INDICES EMERGING MARKETS 101 .Africa 14.8% Turkey 20. Turkey.0% S. Korea. Chile.

HUF. hedging tools. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 2. 7Y & 10Y Indices Investable 6Y. benchmarks.41% 7.45% 0.77% 17. Source: Bloomberg.3 8. ILS.5 3 2.74% -1.40% Last 12 Months 2.5 • The Barclays Capital EM Asia and EEMEA Swap Index families extend our investable global nominal interest rate swap index coverage into the EM space using transparent swap pricing.77% 4.BARCLAYS CAPITAL INDICES EM: Asia and EEMEA Swap Index Families Overview Style Access Beta Featured Index Asia Swap 10 YR SGD ER Bloomberg BSWACS10 Live Date Oct 2009 β α Index performance 135 130 125 120 115 110 105 100 95 90 2002 2003 2004 2005 2006 2007 2008 2009 2010 2 1.69% 7. THB & TWD 20Y Indices in development Source: Barclays Capital Historical performance: As of December 31. • 1yr forward 1yr receive fix swap indices supplement the core spot starting indices.6 2.26% 0.5 SGD 10Y Swap ER Index SGD 10Y Swap Rate (RHS) 5 4. • The indices can be used as cost efficient systematic duration access tools. KRW.5 4 3. ZAR 1Y-10Y Indices Investable Asia Swap Index Family HKD. 8Y & 9Y Indices are Indicative 1Y forward 1Y Indices Investable ZAR 5Y forward 5Y Indices Investable SGD 20Y Indices Investable HDK. and components in strategy indices. THB. Barclays Capital EM Swap Index Families EEMEA Swap Index Family CZK. KRW. PLN. SGD.04% INVESTABLE INDICES EMERGING MARKETS 102 .25% -6. TWD 1Y-5Y. SAR. A long-dated SGD index is also available.

38% 23.95% Total Return Global EEMEA ASIA LatAm Alpha EUR JPY AUD Spot Global Pegged Asia . as well certain currency policies. and Asia. such as LatAm. liquid.73% 7. and diversified investment.79% -11.12% Last 12 Months 5. 2010 Statistic Annual excess return Annual excess return volatility Since Inception 8.21% 0. 130 110 90 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Access global emerging money markets GEMS Family Historical performance: As of December 31.BARCLAYS CAPITAL INDICES EM: Local currency money market exposure with GEMS Overview Style Access Beta Featured Index Global Emerging Markets Strategy (GEMS) USD ER Bloomberg BXIIGEEU Live Date Jul 2006 β α Index performance 250 230 210 190 170 150 GEMS USD ER Index • The Barclays Capital GEMS family of Indices are investable indices that allow access to major emerging markets with a short duration. • The GEMS indices are based on the concept of accessing short-term money markets in 15 major emerging markets across the world.8 BRIC Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Source: Barclays Capital INVESTABLE INDICES EMERGING MARKETS 103 . such as the index of pegged currencies. • Various sub-indices reflecting certain regions. BRIC.7 4.96% 8.1 5.27% 6.85% 1.51% -4.

2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 1.1 0.0 1.99% 1. • The index framework dynamically selects long or short positions in forward swaps given trends in rates and the shape of the swap curve.74% 0.43% Source: Bloomberg. 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital KRW and USD rates correlation on monthly changes 7% 6% 5% 4% 0.87% 1.06% 0.01% 0. the trend component of the signal also assesses information from the US rates markets.36% 4.9 0.32% Last 12 Months 1.3 3% 2% 1% 0% 2001 0.6 0.BARCLAYS CAPITAL INDICES EM: KRW Rates Term Premium Overview Style Alpha Featured Index KRW Rates Term Premium ER Bloomberg BXIIKRTP Live Date Dec 2010 β Index performance 110 108 106 104 102 100 98 2002 KRW Rates Term Premium ER Index KRW Rates Term Premium Long-Only ER Index α • The Barclays Capital KRW Term Premium Index provides access to a systematic forward bias strategy and aims to offer enhanced returns across interest rate cycles.29% -0.5 0.2 0. • Given that Korea is a very open economy.31% -0.0 2002 2003 2004 2005 2006 2007 2008 2009 2010 KRW 1Y Swap Rate Correlation (RHS) USD 3M LIBOR Full sample correlation (RHS) 0. Barclays Capital INVESTABLE INDICES EMERGING MARKETS 104 .4 Historical performance: As of December 31.

transparent.36% -0. • SGD and USD short rates define the signal since Singapore is a trade-oriented economy managing a trade-weighted currency and. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 1.43% Source: Bloomberg.20% 0. Barclays Capital INVESTABLE INDICES EMERGING MARKETS 105 . benefiting from positive roll down. 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Allocation and short-term rates 7% 6% 5% 4% 0 3% 2% 1% 0% 2002 -2 2003 2004 2005 2006 2007 2008 2009 2010 -1 1 SGD SORF 6M USD LIBOR 3M Allocation (RHS) 2 Historical performance: As of December 31. • The default position is long the swap. is influenced by local conditions and the US. thus.80% -0.4 0.39% 1. However there is a long/ short feature based on a rates trend identification signal.04% 0.96% 0.7 0.76% 1.BARCLAYS CAPITAL INDICES EM: SGD Exceed – Front-end alpha extraction Overview Style Alpha Featured Index SGD Exceed ER Bloomberg BXIISGEX Live Date Jan 2010 β α Index performance 110 108 106 104 102 100 98 2002 SGD Exceed ER Index SGD Exceed Long-Only ER Index • Tradable. and rules-based index built on a simple algorithm which extracts excess returns from the short end of the SGD curve using a forward swap index.21% Last 12 Months 0. due to the term premium.58% 1.

BARCLAYS CAPITAL INDICES Index Replication: Overview and Classification m at ic te ch ni ca ls om en tu Vo m la t il it y M ar ke tt im M ar in g ke tn eu tr al 106 he ro -t ke t M Va l Ca β RBIs® Bond Indices REMIX (MBS) LBAR/SBAR Hedge fund Tracking bond indices using derivative instruments Tracking the US MBS FixedRate Index with TBA positions Tracking the HFRI Composite Index α INVESTABLE INDICES INDEX REPLICATION M M Index Description Tr en d ac rr ue ar y .

• The basket is reconstituted each month. US MBS).9 157.2 81.6 233.1 RBI Baskets ® Global Aggregate x US RBI® European Aggregate 33. JGB futures. JGB futures TEV (bp/mo) 44. • RBI® baskets can be created on any Barclays Capital Index or custom index.1 Govt / Credit Custom Client Benchmarks Source: Barclays Capital Euro Aggregate RBI® Japanese Aggregate RBI® (from Oct 2003) Source: Barclays Capital INVESTABLE INDICES INDEX REPLICATION 107 . as closely as possible.0 57. 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Performance of RBI® Baskets (Apr 2004—Apr 2010) RBI Basket US Aggregate RBI® US Gov/Credit RBI® Description TRS (UST. CDX. Swaps. Swaps. CDX TRS (UST).8 |TE| Worst (bp) 185.8 Different RBI® Baskets for Different Benchmarks Global Aggregate Global Aggregate Ex USD Japanese Aggregate Global Aggregate RBI® US Aggregate 34. iTraxx Swaps. iTraxx Futures. MBS) Swaps.3 38. JGB futures.BARCLAYS CAPITAL INDICES Index Replication: Replicating Bond Index (RBI®) Baskets Overview Style Access Beta Featured Indices Global Aggregate RBI® Series 2 US Aggregate RBI® Series 2 Bloomberg LB04 LB01 Live Date Apr 2004 Apr 2004 120 110 100 90 2004 β α Index performance 140 130 US Aggregate RBI US Aggregate Index • Replicating Bond Index (RBI®) baskets are portfolios of derivative instruments designed to track a bond index. CDX TRS (UST. CDX.5 174.2 161. using a mechanistic algorithm to match. iTraxx Swaps.2 21. Swaps. the term structure and spread exposures of the relevant Barclays Capital index. • A series of RBI® baskets with different derivative replication strategies are also available for the same benchmark index.

55% -4.60% Source: Barclays Capital Note: Data: 1/98—4/10. Fixed Rate MBS Index 20 10 Tracking Error (bps) Adding MBS to an Intermediate UST Portfolio Improves the Portfolio’s Tail Risk Properties MBS proportion Monthly total return Monthly total return volatility Best monthly return Worst monthly return 0% 0.4 bp/mo with a tracking error volatility of 7.70% 20% 0.BARCLAYS CAPITAL INDICES Index Replication: Tracking MBS using REMIX Overview Style Access Beta Featured Index MBS Index Replication Portfolio Live Date Sept 2001 β α Adding MBS Allocation to an Intermediate UST Portfolio Improves Overall Portfolio Performance 0.43% 0.44% 0.94% 3.57% 40% 0.26% -2.47% 0.98% 3. Source: Barclays Capital Tracking Error: REMIX vs.45% 0.96% 3. rebalanced monthly. • REMIX offers clients an opportunity to efficiently gain exposure to the MBS sector without the portfolio management and operations overhead of a fully fledged cash-settled MBS portfolio operation.95% 3.21% 100% 0. • Performance has closely tracked the MBS Index: the average monthly tracking error has been -0.40 0% 10% 20% 30% 40% 50% 60% 70% Portion (%) of MBS in Portfolio 80% 90% 100% Note: Data 1/98—4/10.9bp/mo.23% -4.48% 0. Source: Barclays Capital INVESTABLE INDICES INDEX REPLICATION 108 .50 0.42 0.94% 3.44 0. to track the performance of the US MBS Fixed-Rate Index.46 0.08% 0 -10 -20 -30 -40 -50 -60 2001 2002 2003 2004 2005 2006 2007 2008 2009 -2.45% 60% 0.99% 3. • Customized/tailored versions of REMIX are available.87% -3.42% 0. 0.48 Sharpe Ratio • The Replicating Mortgage Index is a portfolio that holds 12-18 liquid TBA positions.92% -5.33% 80% 0.

69% 26.13% -8.4 2. Weights are chosen based on a factor model.14% 6.5 7. • LBAR takes positions in a dynamic basket of investable market instruments that rebalances on a monthly basis. • The Short Barclays Alternatives Replicator (SBAR) offers short exposure to HFRI Composite. 2010 Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Source: Barclays Capital Since Inception 3. 90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Source: Barclays Capital Replication Results Comparison 4% 3% 2% 1% 0% -1% -2% -3% -4% Dec 2009 Apr 2010 Aug 2010 Dec 2010 HFRI Composite LBAR Historical performance: As of December 31.BARCLAYS CAPITAL INDICES Index Replication: Tracking hedge fund returns Overview Style Featured Index Bloomberg BXIILARE Live Date Mar 2009 210 190 170 150 130 110 LBAR USD ER Index β α Index performance Beta Replication LBAR USD ER • The Long Barclays Alternatives Replicator (LBAR) index is designed to provide investors with a tradable long exposure to the global hedge funds industry by attempting to track the HFRI Composite index.45% 0.19% 5.58% 7.68% 0.22% Last 12 Months 2.57% Source: Barclays Capital INVESTABLE INDICES INDEX REPLICATION 109 .08% -3.

BARCLAYS CAPITAL INDICES Overview of Barclays Capital POINT® Innovative Multi-Asset Portfolio Analysis OVERVIEW OF BARCLAYS CAPITAL POINT® 110 .

leveraging Barclays Capital research and technology to offer advanced index analysis. Cross Asset Solutions • • • • Access to industry-leading valuation models Consistent view of portfolio metrics Integrated understanding of fixed income and equity risk Dedicated client service and enterprise solutions Portfolio & Index Analysis • • • • Multi-factor risk models Hybrid Performance Attribution Portfolio optimization and hedging tools Scenario Analysis Source: Barclays Capital Scalable Platform • • • • Single Security Analytics • • • Flexible front end for intra-day analysis Automated reporting and portfolio maintenance Robust. The POINT platform combines the intellectual capital of Barclays Capital’s leading research and trading operations with a highly scalable technology solution that supports more than 200 institutions globally.BARCLAYS CAPITAL INDICES POINT: An Innovative Multi-asset Portfolio & Index Analysis Tool POINT is a software application that provides comprehensive solutions for every stage of the investment process. price. and performance analysis. processing more than 10. enterprise-wide batch processing Client data security Indicative. swap.3mn securities daily. multi-asset portfolio construction.000 portfolios and more than 1. and municipal curves Equity sector betas and sensitivities to fundamental and technical factors 111 OVERVIEW OF BARCLAYS CAPITAL POINT® . and analytical data Option-adjusted analytics based on government. risk forecasting.

FX Forwards. TRS. MBS. Eurodollars at iv es • Listed equity options on single-name stocks. Corporate. and Options & De riv • CDX. ETFs and Index Futures om POINT Coverage b Glo Cus t GLOBAL COVERAGE • Fixed Income Emerging Markets coverage of more than 140 currencies • Equity coverage in 48 currencies and 84 countries • Global Rates. and REITs • Cash Fixed Income.BARCLAYS CAPITAL INDICES Barclays Capital POINT Security/Instrument Coverage MULTI-ASSET • Cash Equities. Swaptions. ETFs. IR Futures. CMBS. ABS. ADRs. Treasury. and Inflation-Linked Securities • Securitized Products. Common Stock. Caps/Floors. Closed-end Funds. and CMO et ss -A lti u M INTEREST RATES AND DERIVATIVES • IR Swaps. Agencies. Municipals. Sovereign and Corporate coverage • Curves for 39 currencies USER-DEFINED INSTRUMENTS • Model custom bilateral contracts • Coverage of Private Equity • Flexibility to design custom structures INDICES • Access major indices and benchmarks • Benchmark portfolios directly to Barclays Capital Indices • Upload or create custom indices for benchmarking and analysis 112 al Indices OVERVIEW OF BARCLAYS CAPITAL POINT® . CDS IR • Bond Futures.

BARCLAYS CAPITAL INDICES POINT: Advanced Portfolio Models Global Risk Models • Decompose relative and absolute risk using intuitive. another portfolio. multi-factor risk models • View risk as a set of fundamental factors accounting for correlations across asset classes • Project portfolio tracking error and value-at-risk • Apply custom prices and analytics • Partition risk across factors. or cash • Define a multi-level partition to mimic a portfolio’s management structure • Choose market value or risk-based weights to measure exposure to currencies or sectors • Account for P&L gained from intra-day transactions Source: Barclays Capital Source: Barclays Capital OVERVIEW OF BARCLAYS CAPITAL POINT® 113 . detailed. sectors and other customizable dimensions • Quantify systematic and unsystematic risk exposures using detailed risk reports Hybrid Performance Attribution • Understand the sources of outperformance in detail using daily transactional data • Introduce elements of a risk-factor-based framework into traditional sector-based attribution to create a custom hybrid approach • Compare performance against a standard or custom index.

analytics. scalable linear.BARCLAYS CAPITAL INDICES POINT: Quantitative Tools for Portfolio Management Portfolio Optimizer • Run fast. and custom data • Construct. or hedge a portfolio while incorporating user-specified objectives and constraints • Replicate an index using tracking error minimization • Analyze trade recommendations for strategy implementation Source: Barclays Capital Scenario Analysis • Assess the impact of hypothetical market moves • Define multi-currency government/swap curve movements and USD municipal curve movements • Apply a scenario instantaneously or over a time horizon • Adjust horizon pricing using custom or historical sector betas • Capture the impact of vega exposure to parallel and nonparallel shifts in the volatility surface Source: Barclays Capital OVERVIEW OF BARCLAYS CAPITAL POINT® 114 . rebalance. and nonlinear optimization in a friendly user-interface • Target portfolio characteristics including risk.

S. Credit Bond Index U.BARCLAYS CAPITAL INDICES Quick reference for featured Benchmark Indices Benchmark Index Alternative Weighting Schemes: Float Adjusted Alternative Weighting Schemes: GDP Weighted Alternative Weighting Schemes: Issuer Capped Asia-Pacific Aggregate Bond Index Benchmarks for LDI Strategies Emerging Markets Bond Indices Euro & Sterling ABS Indices Floating-Rate (FRN) Bond Indices Global Aggregate Bond Index Global Treasury Bond Index High Yield Bond Indices Japanese Aggregate Bond Index Municipal Bond Index Pan European Aggregate Bond Index Sterling Aggregate Bond Index U. Mortgage Backed Securities (MBS) Index Universal Bond Indices World Government Inflation-Linked Bond Index Page 35 36 34 21 33 26 28 29 17 24 25 22 30 19 20 18 31 32 27 23 115 .S. Aggregate Bond Index U.S.

Historical data after these dates reflect live index performance.BARCLAYS CAPITAL INDICES Quick reference for featured Investable Indices Investable Index Adaptive Trend [FX] AEM: Advanced Emerging Markets [Equities] AIMS: Outperforming TIPS [Inflation] Asia and EEMEA Swaps [EM] ASTRO: Algorithmic Short Term ReversiON [Equities] Atlantic Exceed: Money-market term premium [Rates] Backwardation [Commodities] Backwardation Long Short [Commodities] Barclays Capital Commodities Index (BCI) [Commodities] BLSC: Long-Short Credit [Credit] Bond Futures [Rates] Borrowing Units [FX] BPX: Swaption Volatility [Rates] CEEMEA Sector Indices [Equities] Chips: Thematic access to quality stocks [Equities] ComBATS 6: Market neutral multi-commodity alpha strategy [Commodities] CPCI: Commodity Producers Currency Index [FX] Credit Beta [Credit] CRYSTAL: EURO-USD spread [Rates] E7 [Equities] EMTIL: Tradable Inflation Linked Index [EM] FX Volatility [FX] GEMS: Local currency money market exposure [EM] Global Carbon [Commodities] Global Target Exceed: Money-market term premium [Rates] ICI: Intelligent Carry Index [FX] Inflation Swaps [Inflation] Page 74 89 61 102 91 54 83 84 77 65 49 68 52 87 90 85 70 63 53 88 101 71 103 78 55 72 59 Investable Index INSPIRE: Expected inflation [Inflation] IRFix Swaps [Rates] KRW Rates Term Premium [EM] LBAR/SBAR: Tracking hedge fund returns [Index Replication] Liquid Basket [FX] Local Currency Bond Index [EM] Momentum Alpha [Commodities] Multi-Strategy [Commodities] Navigator: Trend-capturing strategy [Equities] NEMO: Spread trend-following [Credit] PRISM: Combining rates alpha strategies [Rates] Pure Beta Series-2 [Commodities] Q-BES: Earnings surprise [Equities] Q-GSP: Growth stock picking [Equities] Q-MA: Merger Arbitrage [Equities] Q-True Value: Value stocks [Equities] RBI®: Replicating Bond Index baskets [Index Replication] REMIX: Tracking MBS [Index Replication] SGD Exceed: Front end alpha extraction [EM] Sovereign Bond Index [EM] Switch: Combination of FX stategies [FX] TOM™: Turn-Of-the-Month Index [Equities] Trade Weighted US Dollar [FX] TrendStar+: Swap curve slope [Rates] US Treasury Yield Curve Slope [Rates] Value Convergence [FX] Voyager: Absolute commodity returns [Commodities] Page 60 50 104 109 67 100 80 81 93 64 57 79 96 94 97 95 107 108 105 99 75 92 69 56 51 73 82 Note: The Barclays Capital Investable Indices each have specific Live Dates. All historical data prior to the indices’ Live Date are derived from hypothetical back-testing. Source: Barclays Capital 116 .

salerno@barcap.tweeboom@barcap.harman@barcap.com Europe Lee Phillips lee.mazoy@barcap.com +65 6308 3870 Asia Rahul Sharma +65 6308 3982 rahul.com Europe Jose Mazoy +44 (0) 20 3134 0998 jose.com Tokyo Barclays Capital Japan Limited 31F Roppongi Hills Mori Tower 6-10-1 Roppongi.rennison@barcap. CAIA +1 212 526 6981 brian.phillips2@barcap. CFA +1 212 526 2715 zarvan.com Zarvan Khambatta.tago@barcap.lazanas@barcap.com John Williams +44 (0) 20 7773 2419 john. Tokyo 106-6131 +81 3 4530 1760 index-tk@barcap.com Donal Creed Index Production +1 212 526 9424 donal.com Nicholas Gendron Index Licensing +1 212 526 6758 nicholas.com +44 (0) 20 7773 3473 Asia Norman Tweeboom norman.kuo@barcap.upbin@barcap.com London Barclays Capital 5 The North Colonnade London E14 4BB +44 (0) 20 7773 3744 index-uk@barcap. CFA +1 212 526 2490 sherwood.com US Sherwood Kuo.com POINT® US Paul Salerno paul.tweeboom@barcap.com Scott Harman +44 (0) 20 7773 1775 scott. NY 10019 +1 212 526 7400 Index-us@barcap.com Benchmark Indices Global Brian Upbin.com Asia Norman Tweeboom +65 6308 3870 norman.venkataraman@barcap. Minato-ku.com Investable Indices Global Anthony Lazanas +1 212 526 3127 anthony. CFA.com Tadashi Tago +81 3-4530 1772 tadashi. Portfolio and Risk Solutions Waqas Samad Head of IPRS +44 (0) 20 313 42104 waqas.com Index.gendron@barcap.com +1 212 526 9779 .sharma@barcap.khambatta@barcap.williams@barcap.BARCLAYS CAPITAL INDICES Contacts New York Barclays Capital 745 7th Avenue New York. 048583 +65 6308 2225 index-sg@barcap.com US Graham Rennison +1 212 526 6675 graham.com Singapore Barclays Capital 1 Raffles Quay Singapore.samad@barcap.com Europe Anand Venkataraman +44 (0) 20 7773 0852 anand.creed@barcap.

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