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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

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

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

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

Beta Replication Products Alternative Beta

Active strategies with attractive risk/return

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Overview of Barclays Capital Benchmark Indices


A Full Spectrum of Indices Benchmark Product Coverage
Aggregate (Broad market IG) Global Aggregate U.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, ABS Convertibles HY Loans Nominal & Inflation Swaps Liquid Benchmarks Float Adjusted Indices GDP Weighted Indices

Timeline: Major Index Launches


1973 U.S. Government; U.S. Corporate 1979 U.S. Government/Corporate (since renamed U.S. Government/Credit) (history to 1973) 1980 Municipal Bond Index 1986 U.S. Aggregate (1976); U.S. Mortgage Backed Securities (1976); 1992 U.S. Corporate High-Yield (1983); Eurobond (1987); Global Treasury (1987); U.S. Asset Backed Securities 1993 U.S. Emerging Markets 1996 U.S. Private Placement 1997 Inflation-Linked; US CMBS 1998 Euro Aggregate; 144A Investment-Grade Corporate; Euro-Government 1999 U.S. Universal (1990); Global Aggregate (1990); Pan-European Aggregate; Euro High Yield; Global High Yield 2000 Asian-Pacific Aggregate 2001 Multiverse; Global Credit; Global Securitized (2000); U.S. Swaps (1992); Global Capital Securities (2000); Pan-Euro Emerging Markets; Global Emerging Markets 2002 Pan-Euro Universal (2001); Euro, Sterling, & Yen Swaps (1999); Danish MBS; Canadian Aggregate; Issuer-Constrained Indices 2003 U.S. Convertible Bond; U.S. Floating-Rate Note; Euro Floating-Rate Note 2004 China Aggregate; Euro Floating-Rate ABS 2005 U.S. Floating-Rate ABS; U.S. Hybrid Adjustable-Rate Mortgage 2006 U.S. High-Yield Loan; U.S. High-Yield Floating-Rate Note ;Inflation-Linked Swaps 2007 EM Inflation-linked; CDX/iTraxx Total Returns 2008 Benchmark Indices rebranded as Barclays Capital 2009 GDP-Weighted Indices; Aggregate Float Adjusted Indices; 2010 Local EM, Tradable EM, Indices Sterling FRN, Sterling Aggregate 100, EMEA Convertibles, Pan-Euro ABS. 2011 Asia Convertibles, Global Convertibles, CMBS 2.0

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 70,000 securities, $32.6trn+, 79 countries, 35 local currency debt markets with more than 40,000 indices published daily

Customized Index Solutions/Advisory Services


Benchmark Selection and Design Index Customization: Liability-driven Indices, Float-

Active strategies with attractive risk/return

adjusted Indices, Alternative Weight Indices, Bespoke Client Indices


Index Replication and Portfolio Rebalancing Portfolio Risk and Performance Analysis: Hedging

Strategies and Optimization

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Barclays Capital Suite of Investable Indices


A Full Spectrum of Indices Barclays Capital Index Products
Separate index sponsor - Compliance boundaries Rules-based tradable indices Clients: ranging from retail to the largest institutions Reputation for transparency, robustness, and research Tailored/custom investment strategies Enhanced access to established beta

Comprehensive Coverage
Asset classes
Commodities Credit Equities Emerging Markets Foreign Exchange Rates/Inflation

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

Active strategies with attractive risk/return

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Barclays Capital Benchmark Indices

BENCHMARK INDICES

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. 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 70,000 index-eligible securities.
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.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, commitment, and full product/service offering of the Index, Portfolio, and Risk Solutions group of Barclays Capital. 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, London, Tokyo, and Singapore

Broad Product Coverage and History of Innovation


Broad coverage of indices spanning global and local debt markets, investment grade and high yield bonds, fixed- and floating-rate debt, nominal and inflation-linked securities, and the taxable and tax-exempt markets. 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

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. Total Return Calculations Barclays Capital Bond Indices measure index and security level total returns, 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, designed to measure the relative weights of outstanding securities in the investment choice set. While market value weighting is standard, Barclays Capital offers many index options using alternative weighting schemes

To be index eligible, a security must meet all published eligibility


criteria. This allows index users not only to understand their benchmarks current composition, but also to expect index composition changes based on market dynamics and issuance patterns.

This ensures that the index is representative of the investable


universe and transparent to index users.

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 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, 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 months returns universe Statistics universe as of the next index rebalancing date becomes next months returns universe
9

Projected Universe

Forward

BENCHMARK INDICES

BARCLAYS CAPITAL INDICES

Index Customization
Barclays Capital recognizes that no single benchmark design is universal or appropriate for all investors. 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. The IPRS team works with clients in the design, methodology, back-testing, selection, and documentation of bespoke benchmark indices for their portfolios with rapid turnaround time. Barclays Capital publishes several thousand bespoke indices daily. 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 investors 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 investors 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, 25% MBS 25% Corporates 50% Pan Euro Agg 50% Asia Pac Agg

Issuer-Constrained Indices

Pan Euro HY: BB 3% issuer capped, Single-B 2% Issuer capped, Caa and Below 1% Issuer Capped US HY 1.5% 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

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Replicating Returns of Fixed Income Indices


The Spectrum of Index Products IPRS Services for Index Replication The Barclays Capital Index, Portfolio, 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, so it may be repackaged in new innovative ways (i.e., portable alpha strategies). Barclays Capital also licenses its indices to third parties for use in index replication products such as ETFs. There are various index replication techniques, each with their own advantages and limitations. Some of the more common strategies/products include: Strategy
Cash Bond Portfolio

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; however, 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, flexibility Provides unfunded exposure, leaving cash available for other purposes, e.g., for alpha strategies Flexible, transparent Low maintenance Good tracking with underlying index over time Provides unfunded exposure, leaving cash available for other purposes, e.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

Active strategies with attractive risk/return

Exchange Traded Products (ETFs/ETNs)

Potential for tracking error, depending on replication technique used Counterparty risk if ETF uses swap based index replication

Source: Barclays Capital

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Accessing Index Data Using Barclays Capital Live


Barclays Capital Live is a web-based portal for clients to access index data, analytic tools, research, trading, risk management, and reporting systems through a single site.
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, maturity, issuer, credit quality, duration, and currency.

Benchmark Index Map

Index Charts

Index Time Series

Source: Barclays Capital Live

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The Barclays Capital Index Website


The public Barclays Capital Index website is another useful source of index returns, new announcements, descriptions, documentation, and fact sheets. Time series returns on a selection of indices are available, as well as a daily snapshot of benchmark index returns
Fact sheets for major index families

www.barcap.com/indices

Daily Benchmark Returns

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Access to Barclays Capital Index Data Via Third-party Providers


Daily external published index values on Bloomberg, Reuters, and many other data service platforms. Index data at the bond level are also available via the Barclays Capital POINT system and a number of thirdparty portfolio analytical systems. Contact Barclays Capital for a list of providers. Data can also be sent directly to index users on a
BCIX or LEHM <GO>

daily basis via email and automated FTP.

Sample Index Ticker on Bloomberg (US Aggregate)

Source: Bloomberg

Source: Bloomberg

Source: Bloomberg

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Index Analysis in POINT


POINT is the most robust and flexible platform to access, navigate, 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, issuer capped, composites) and backtesting For more information on POINT, see the POINT overview in the final section of this guide. Portfolio versus Benchmark Analysis Market Structure Reporting

Source: Barclays Capital

Index Dynamics & Turnover Analysis

Source: Barclays Capital

Source: Barclays Capital

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Overview of Flagship Benchmark Indices

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Global Aggregate Bond Index


Overview
The Global Aggregate Index provides a broad-based measure of the global
investment grade fixed-rate debt markets.

Sector by Currency Composition


Sector
Treasury Gov-Related Corporate MBS ABS CMBS Covered Total

Total
49.2% 15.2% 16.4% 13.9% 0.3% 1.0% 4.1% 100%

USD
10.3% 6.3% 8.0% 13.9% 0.1% 0.9% 0.1% 39.7%

EUR
16.6% 4.6% 5.5% 0.0% 0.1% 0.0% 3.5% 30.3%

GBP
3.3% 0.7% 1.3% 0.0% 0.1% 0.0% 0.0% 5.5%

JPY
14.7% 1.9% 1.0% 0.0% 0.0% 0.0% 0.0% 17.6%

Other
4.3% 1.6% 0.5% 0.0% 0.0% 0.0% 0.5% 6.9%

Global investors are increasingly selecting this flagship benchmark for their
portfolios over multi-currency government/Treasury-only indices that do not include spread sectors.

The Global Aggregate Index contains three major components: the U.S. Aggregate Index (USD 300mn), the Pan-European Aggregate (EUR 300mn), and the Asian-Pacific Aggregate Index (JPY 35bn). Index

The Global Aggregate Index also includes Global Treasury, Eurodollar


(USD 300mn), Euro-Yen (JPY 35bn), Canadian (USD 300mn equivalent), and 144A (USD 300mn) index-eligible securities not already in the three regional aggregate indices.

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

Key Rules
USD 300mn, EUR 300mn, GBP 200mn, JPY 35bn (or regional equivalent) minimum outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in one of 23 eligible currencies Fully taxable, publicly issued in global/regional markets
Inception January 1, 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

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U.S. Aggregate Bond Index


Overview
The U.S. Aggregate covers the investment-grade, U.S. dollar-denominated,
fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS

Sector by Quality Composition


Sector
Treasury Govt-Related Corporate MBS CMBS ABS Total

Total
26.4% 13.5% 18.8% 37.6% 3.3% 0.4% 100%

AAA
26.4% 11.1% 0.1% 37.6% 2.8% 0.4% 78.3%

AA
0.0% 0.8% 2.9% 0.0% 0.1% 0.0% 3.9%

A
0.0% 0.6% 8.8% 0.0% 0.3% 0.0% 9.7%

BAA
0.0% 0.9% 7.0% 0.0% 0.1% 0.0% 8.1%

The flagship Barclays Capital U.S. Aggregate Bond Index and its sub-indices
are the most widely used U.S. fixed income benchmark family. Key subindices include the U.S. Intermediate Aggregate, U.S. Government/Credit, U.S. Government, U.S. Credit, and U.S. MBS.

Index replication options include exchange traded funds (ETFs), total return
swaps (TRS), and derivatives replications with an RBI swap

The U.S. Aggregate is also a component of the multi-currency Global


Aggregate Index and the U.S. Universal Index that includes HY and EM debt

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

Key Rules
$250mn minimum amount outstanding Rated IG by middle rating of Moodys, S&P, 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, 1976 Currency Denomination USD Bloomberg ALLX <LBUS> <GO>
Source: Barclays Capital U.S. Government

Index Family Structure


U.S. Aggregate

U.S. Credit

U.S. Securitized

U.S. Treasury U.S. Agency

U.S. Corporate
Sovereign, Local Authority, Supranational, Non-U.S. Agency

U.S. MBS U.S. CMBS U.S. ABS

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Pan European Aggregate Bond Index


Overview
The Pan-European Aggregate Index tracks fixed-rate, investment-grade
securities issued in the following European currencies: Euro, British pounds, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, Slovakian koruna, and Swiss franc*.

AAA
37.1% 9.3% 0.4% 0.3% 0.1% 10.0% 57.1%

Total
56.3% 14.3% 18.2% 0.5% 0.1% 10.6% 100%

Sector by Quality Composition


Sector
Treasury Gov-Related Corporate ABS CMBS Covered Total
Source: Barclays Capital.

AA
15.3% 3.0% 4.5% 0.1% 0.0% 0.6% 23.4%

A
3.6% 1.5% 9.0% 0.1% 0.0% 0.1% 14.4%

BAA
0.3% 0.6% 4.3% 0.1% 0.0% 0.0% 5.2%

Subindices, such as the Euro Aggregate and the Sterling Aggregate, are
widely used benchmarks in their respective regions.

Other Pan Euro Aggregate subindices include the Danish Krone Aggregate,
Swedish Krona Aggregate, Norwegian Krone Aggregate, Swiss Franc**, and Central European Indices.

The Pan-European Aggregate Index was launched on January 1, 1999.

Key Rules
EUR 300mn (or local equivalent)/GBP 200mn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in EUR, GBP, CHF, NOK, DKK, SEK, CZK, HUF, PLN, SKK Publicly issued in Eurobond and index-member domestic markets
Inception January 1, 1999 Currency Denomination Multi Bloomberg ALLX <LP06> <GO>

Note: Effective Date: Oct. 31, 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, 2010. ** The existing Swiss Franc Aggregate will not be included in its entirety. Source: Barclays Capital

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Sterling Aggregate Bond Index


Overview
The Sterling Aggregate Index contains fixed-rate, investment-grade Sterling-denominated securities, including Gilt and Non-Gilt bonds.

Sector by Quality Composition


Sector
Treasury Gov-Related Corporate ABS CMBS Covered Total

Total
60.4% 13.2% 23.4% 1.9% 0.9% 0.4% 100%

AAA
60.4% 11.8% 0.3% 0.5% 0.4% 0.4% 73.8%

AA
0.0% 0.7% 5.5% 0.3% 0.2% 0.0% 6.7%

A
0.0% 0.4% 11.6% 0.6% 0.2% 0.0% 12.8%

BAA
0.0% 0.3% 5.9% 0.5% 0.1% 0.0% 6.7%

The index is a subset of the Global Aggregate and the Pan European
Aggregate in its entirety.

The Sterling Aggregate Index was launched on January 1, 1999. A version of the Sterling Aggregate with a lower minimum issue size of
GBP 100mn was launched in December 2009.

Barclays Capital also publishes GBP benchmarks for High Yield, FloatingRate Notes, Asset-backed Securities (fixed and floating), Linkers, Swaps, Inflation Swaps, and Emerging Markets.

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

Key Rules
GBP 200mn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, 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, 1999

Currency Denomination GBP

Bloomberg ALLX <LC58> <GO>


Source: Barclays Capital

UK Securitized

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Asia-Pacific Aggregate Bond Index


Overview
The Asian-Pacific Aggregate Index contains fixed-rate investment-grade
securities denominated in Japanese yen, Australian dollar, Hong Kong dollar, Malaysian ringgit, New Zealand dollar, Singapore dollar, South Korean won, Thai baht, and Taiwan dollar.

Sector by Quality Composition


Sector
Treasury Gov-Related Corporate ABS Covered Total

Total
83.0% 11.6% 5.4% 0.0% 0.0% 100%

AAA
2.1% 2.3% 0.0% 0.0% 0.0% 4.4%

AA
75.2% 9.0% 3.6% 0.0% 0.0% 87.7%

A
5.7% 0.1% 1.5% 0.0% 0.0% 7.4%

BAA
0.0% 0.1% 0.2% 0.0% 0.0% 0.4%

The index is a subset of the Global Aggregate Index in its entirety. A widely used subindex in this family is the Japanese Aggregate, which only
includes bonds denominated in JPY.

The Asian-Pacific Aggregate Index was launched on July 1, 2000.

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

Key Rules
JPY 35bn (or local equivalent) minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in JPY, AUD, HKD, KRW, MYR, NZD, SGD, THB, or TWD Fully taxable, publicly issued in global/regional markets
Inception July 1, 2000 Currency Denomination Multi Bloomberg ALLX <LAPC> <GO>
Source: Barclays Capital

Index Family Structure


Asia-Pac Aggregate
Non-Japan
Australian Agg Other Currencies HKD, KRW, MYR, NZD, SGD, THB, TWD

Japanese Agg
JPY Treasury JPY Gov-Related JPY Corporate JPY Securitized

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Japanese Aggregate Bond Index


Overview
The Japanese Aggregate Index is a broad-based investment-grade
benchmark consisting of fixed-rate JPY-denominated securities. The index is composed primarily of Japanese Government Bonds (JGBs) but also includes government-related, corporate, and securitized debt.

Sector by Quality Composition


Sector
Treasury Gov-Related Corporate ABS Total

AAA
0.0% 0.2% 0.0% 0.0% 0.2%

AA
83.8% 10.2% 3.8% 0.0% 97.8%

A
0.0% 0.1% 1.6% 0.0% 1.7%

BAA
0.0% 0.0% 0.3% 0.0% 0.3%

Total
83.8% 10.5% 5.7% 0.1% 100%

The index is a subset of the Asian-Pacific Aggregate and the Global


Aggregate Indices. The Japanese Aggregate is the largest component of the Asian-Pacific Aggregate by market value (87.6% as of 10/31/09).

The Japanese Aggregate Index was launched on July 1, 2000.

Source: Barclays Capital

Note Effective Date: Oct. 31, 2009

Key Rules
JPY 35bn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step up coupons Denominated in JPY Fully taxable, publicly issued in global/regional markets
JPY Gov-Related JPY Corporate

Index Family Structure


Japanese Aggregate

JGBs

Other Sectors

Inception July 1, 2000

Currency Denomination JPY

Bloomberg ALLX <LG24> <GO>


Source: Barclays Capital

JPY Securitized

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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.
Australia 0.4%

U.S. 37.8% Sweden 2.5%

Country Breakdown

Countries include the UK, Australia, Canada, Sweden, the US, France, Italy,
Japan, and Germany. Greece exited the index on December 31, 2009, but remains eligible for the Universal Government Inflation-Linked Bond Index.
Canada 2.8%

Barclays Capital is a world-leader in inflation-linked products and is


recognized as a key market-maker in global inflation-linked securities, a top-tier lead manager of issuance and a major innovator in this asset class.
Euro-zone 28.2% Japan 5.4%

U.K. 22.9%

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

Key Rules
AUD 700mn, CAD 600mn, EUR 500mn, JPY 50bn, SEK 4bn, GBP 300mn, USD 500mn minimum issue size Currency rating of A3/A- for G7 and euro-zone markets, and Aa3/AA otherwise, based on lower of S&P and Moodys 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. In the Eurozone, domestic inflation indices and the EMU HICP are eligible
Inception December 31, 1996 Currency Denomination Multi Bloomberg <BCIX> <GO>

Index Family Structure


World Government Inflation-Linked Index

U.S.

Eurozone
U.K.

France
Japan

Italy
Sweden

Germany
Canada Australia Source: Barclays Capital

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Global Treasury Bond Index


Overview
The Global Treasury Index tracks fixed-rate local currency sovereign debt of
investment grade countries

Country Breakdown
Country
France Germany Italy Japan United Kingdom United States Other Total
Source: Barclays Capital

Total
6.6% 7.1% 8.1% 29.8% 6.7% 20.9% 20.8% 100%

Intermediate
5.0% 5.7% 5.5% 23.5% 3.5% 17.8% 16.6% 77.6%

Long
1.6% 1.4% 2.6% 6.3% 3.2% 3.1% 4.2% 22.4%

As of October 2009, the index represents the Treasury sector of the Global
Aggregate Index and contains issues from 36 countries denominated in 21 currencies.

The three major components of this index are the U.S. Treasury Index, the
Pan-European Treasury Index, and the Asian-Pacific Treasury Index, in addition to Canadian, Chilean, Mexican, and South African government bonds.

Key Rules
USD 300mn, EUR 300mn, GBP 200mn, 35bn JPY minimum amount outstanding Countries must have an investment grade sovereign rating using the middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step up coupons Fully taxable, 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, 1987

Currency Denomination Multi

Bloomberg ALLX <LGTR> <GO>


Source: Barclays Capital

Note: *As of January 1, 2009

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High Yield Bond Indices


Overview
The Global High Yield Index represents the union of the U.S. High Yield,
Pan-European High Yield, U.S. Emerging Markets High-Yield, CMBS High Yield, and Pan-European Emerging Markets High Yield Indices.

Global High Yield Index: Sector by Quality


Sector
Govt-Related Financial Industrial Utility CMBS Total
Source: Barclays Capital

Total
17.6% 12.3% 62.9% 6.0% 1.2% 100%

BA
11.7% 5.0% 25.7% 2.6% 0.7% 45.7%

B
5.2% 3.1% 20.6% 2.5% 0.3% 31.7%

CAA
0.1% 1.0% 14.8% 0.8% 0.1% 16.8%

CA-NR
0.6% 3.2% 1.8% 0.1% 0.1% 5.8%

The Global High Yield Index provides a broad-based measure of the global
high yield fixed income markets with eligible bonds denominated in USD, EUR, and GBP, as of October 2009.

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.

Other high yield benchmarks include the US HY FRN Index and US HY Loan

Note: Effective Date: Oct. 31, 2009

Key Rules
Minimum amount outstanding of USD 150mn for U.S. HY securities, EUR 100mn for Pan-European HY securities, USD 500mn/EUR 500mn for Emerging Markets securities. CMBS HY Index included in its entirety Rated high yield by middle rating of Moodys, S&P and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons, U.S. EM HY may include floating-rate securities Denominated in USD, EUR, GBP, DKK, NOK
Inception January 1, 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.S. Corporate High-Yield U.S. Emerging Markets High-Yield U.S. CMBS High-Yield

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Emerging Markets Bond Indices


Overview
Barclays Capital provides several families of emerging market debt indices
denominated in external and local currencies.

EM Local Currency Index Family


EM Local Currency Govt Universal
ARS BRL
MXN

The Global EM Index family comprising USD, EUR, and GBP denominated
bonds from sovereign, government-related agency, and corporate issuers from countries with a sovereign rating of Baa1/BBB+ and lower. 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.

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, Low/Middle, or Upper/Middle.

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. 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, Asia) EM Index debt also crosses over into broader indices such as the Aggregate, Universal, & 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

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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.

US Universal: Sector by Quality Composition


Sector
Treasury Gov-Related Corporate MBS ABS CMBS Covered Total

HY
0.0% 1.1% 4.7% 0.0% 0.0% 0.0% 0.0% 5.8%

AAA
23.3% 11.7% 0.2% 33.1% 0.3% 2.6% 0.2% 71.3%

AA
0.0% 1.0% 3.1% 0.0% 0.0% 0.1% 0.0% 4.3%

A
0.0% 0.9% 8.7% 0.0% 0.0% 0.3% 0.0% 9.8%

BAA
0.0% 1.4% 7.3% 0.0% 0.0% 0.1% 0.0% 8.8%

Total
23.3% 16.1% 23.9% 33.1% 0.3% 3.1% 0.2% 100%

The U.S. Universal index was launched on January 1, 1999, and represents
the union of the U.S. Aggregate Index, the U.S. High Yield Corporate Index, the 144A Index, the Eurodollar Index, the U.S. Emerging Markets Index, the non-ERISA eligible portion of the Investment grade CMBS Index, and the Emerged Bonds Index.

The Pan-European Universal Index was launched on January 1, 2002, as an


aggregation of existing European currency-denominated fixed income indices. It includes contributions from the Pan-European Aggregate Index, the Pan-European EM Index, and the Pan-European High-Yield Index.

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. 31, 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
36.5% 9.1% 0.4% 0.3% 0.1% 9.8% 56.2%

AA
15.1% 2.9% 4.4% 0.0% 0.0% 0.6% 23.0%

A
3.6% 1.5% 8.8% 0.1% 0.0% 0.1% 14.1%

BAA
0.3% 0.7% 4.2% 0.1% 0.0% 0.0% 5.2%

HY
0.0% 0.2% 1.3% 0.0% 0.0% 0.0% 1.5%

Total
55.4% 14.3% 19.2% 0.5% 0.1% 10.4% 100%

Multiverse
Global Agg Global HY

ABS CMBS Covered Total

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

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Euro & Sterling ABS Indices


Overview
The Pan-European, Euro, and Sterling ABS Indices provide a broad-based
Fixed Rate measure of the investment-grade fixed and floating-rate asset-backed securities market.

Euro ABS: Collateral by Quality Composition


Collateral
Whole Business RMBS Other ABS Total Floating Rate Whole Business RMBS Other ABS CMBS Total

BAA
2.3% 0.0% 0.0% 2.3% 0.2% 1.0% 0.4% 0.4% 2.0%

AAA
0.0% 3.9% 79.3% 83.2% 0.0% 61.5% 16.3% 6.1% 83.9%

AA
0.0% 0.0% 1.7% 1.7% 0.0% 6.3% 1.5% 1.8% 9.6%

A
6.3% 0.0% 6.5% 12.9% 0.0% 2.0% 1.5% 1.0% 4.5%

Total
8.6% 3.9% 87.5% 100% 0.2% 70.7% 19.8% 9.3% 100%

These indices offer a more meaningful method of accurately measuring the


credit and prepayment performance of European ABS market over simple Libor benchmarks.

In addition to the Pan-European ABS Indices, Barclays Capital also publishes


standalone EUR and GBP benchmarks (launched in January 2004).

Coverage by Currency

Source: Barclays Capital

Note: Effective Date: Oct. 31, 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
8.0% 3.0% 6.0% 14.3% 31.3% 0.0% 65.8% 1.4% 11.8% 81.7%

AA
11.3% 0.0% 0.0% 7.9% 19.2% 0.0% 3.1% 0.0% 4.3% 7.4%

A
20.9% 0.0% 0.5% 6.3% 27.8% 0.8% 1.2% 0.8% 4.0% 6.2%

BAA
16.6% 0.0% 3.0% 2.0% 21.6% 0.0% 1.1% 0.0% 3.5% 4.8%

Total
56.9% 3.0% 9.5% 30.5% 100% 0.8% 71.2% 2.2% 23.5% 100%

EUR

Euro ABS Fixed Rate Euro ABS Floating Rate

GBP

Sterling ABS Fixed Rate Sterling ABS Floating Rate

Note: Effective Date: Oct. 31, 2009

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Floating-Rate (FRN) Bond Indices


Overview
Most Barclays Capital benchmarks include only fixed-rate securities, but
Barclays Capital offers an extensive family of benchmarks that also include corporate and asset-backed floating-rate securities.

US FRN: Sector by Quality Composition


Sector
Financial Agency Industrial Supranational Utility Local Auth Total

Total
73.1% 13.6% 9.1% 3.0% 0.7% 0.5% 100%

AAA
2.6% 11.6% 0.0% 3.0% 0.0% 0.0% 17.1%

AA
36.5% 0.8% 1.7% 0.0% 0.0% 0.5% 39.6%

A
31.9% 0.6% 5.2% 0.0% 0.5% 0.0% 38.2%

BAA
2.2% 0.6% 2.2% 0.0% 0.2% 0.0% 5.2%

The U.S. Floating-Rate Note (FRN) Index was launched on October 1, 2003.
This index is not part of any of our U.S. Aggregate Index, which is a fixed coupon index.

The Euro Floating-Rate Note (FRN) Index was launched on December 1,


2003. Similar to the U.S. FRN Index, the Euro FRN Index is not part of an existing Aggregate Index.

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. 31, 2009

Euro FRN: Sector by Quality Composition


Sector
Financial Industrial Agency Supranational Utility

AAA
0.7% 0.0% 1.6% 1.0% 0.0% 0.0% 0.1% 3.4%

AA
32.1% 0.0% 0.7% 0.0% 0.0% 0.0% 0.0% 32.7%

A
51.6% 2.5% 0.4% 0.0% 0.5% 0.0% 0.0% 55.0%

BAA
6.2% 2.1% 0.0% 0.0% 0.3% 0.1% 0.0% 8.8%

Total
90.6% 4.6% 2.7% 1.0% 0.8% 0.1% 0.1% 100%

EUR

GBP

Sterling FRN Index Sterling ABS Floating Rate Index

Sovereign Local Auth Total


Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

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Municipal Bond Index


Overview
The U.S. Municipal Indices cover the USD-denominated long-term tax
exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds.

Sector by Quality Composition


Sector
Local GO State GO Insured Prerefunded Revenue Total

Total
10.4% 14.0% 11.6% 10.6% 53.4% 100%

AAA
2.5% 2.5% 11.6% 10.6% 3.5% 30.7%

AA
7.1% 6.0% 0.0% 0.0% 23.0% 36.1%

A
0.7% 0.8% 0.0% 0.0% 19.1% 20.6%

BAA
0.2% 4.7% 0.0% 0.0% 7.7% 12.6%

In January 1996, Barclays Capital also began publishing a non-investment


grade municipal bond index and enhanced state-specific indices for Arizona, Connecticut, Maryland, Massachusetts, Minnesota, and Ohio. These indices are published separately from the Barclays Capital Municipal Bond Index.

In 2005, Barclays Capital began publishing Managed Money Municipal


Indices and Insurance Mandate Municipal Indices.

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

Key Rules
$7mn minimum amount outstanding, issued as part of a transaction at least $75mn for the investment-grade Municipal Index Rated IG by middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate coupon Denominated in USD

State Breakdown
California 16.8% New York 14.9%

Texas 7.7% Florida 5.4% Massachusetts 4.4%


Note: Effective Date: Oct. 31, 2009

Others 50.8%
Inception January 31, 1980 Currency Denomination USD Bloomberg ALLX <LMBI> <GO>
Source: Barclays Capital

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U.S. Credit Bond Index


Overview
The U.S. Credit Index covers the U.S. dollar-denominated fixed-rate taxable
bond market, including corporates, local authorities, sovereigns, supranationals, taxable municipals, and non-native currency agencies.

Sector by Quality Composition


Sector
Financial Utility Industrial Govt-Related Total

Total
28.9% 9.4% 43.3% 18.4% 100%

AAA
0.0% 0.0% 0.5% 8.5% 9.0%

AA
7.8% 0.2% 4.7% 3.1% 15.8%

A
16.7% 3.5% 17.7% 2.8% 40.7%

BAA
4.4% 5.7% 20.4% 4.0% 34.5%

The U.S. Credit is also a component of the U.S. Aggregate and U.S.
Government/Credit Indices.

The U.S. Credit Index was called the U.S. Corporate Index until July 2000,
when it was renamed to reflect the indexs composition of both corporate and non-corporate issuers.

Exchange Traded Funds exist based on the U.S. Credit Index and the
following sub-indices: 1-3 Year, 1-10 Year, 10+ Year.

Source: Barclays Capital

Note: Effective Date: Oct. 31, 2009

Key Rules
$250mn minimum amount outstanding Rated IG by middle rating of Moodys, S&P, 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.S. Government/Credit

U.S. Government U.S. Treasury U.S. Agency


U.S. Corporate

U.S. Credit

Non U.S. Govt-Related

Inception January 1, 1973

Currency Denomination USD

Bloomberg ALLX <LUCR> <GO>


Source: Barclays Capital

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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).

FNMA
6.8% 1.5% 39.6% 2.4% 50.2%

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

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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

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

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

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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)

U.S. HY Top 10 Issuers Uncapped vs. 2% Capped


U.S. HY2% 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

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Alternative Weighting Schemes: Float Adjusted


Overview
The Global Aggregate and U.S. Aggregate Float-adjusted Indices offer index
users new benchmarks of broad fixed-rate investment grade bond markets that excludes net holdings of U.S. Treasuries, U.S. agencies, and fixed-rate MBS pass-throughs held in Federal Reserve SOMA accounts, as well as Sterling Gilts and Japanese Yen held by the Bank of England and the Bank of Japan, respectively.
Treasury Government-Related Agency Local Authority Sovereign Supranational Corporate Securitized MBS Pass-through MBS Fixed Rate Hybrid ARMs ABS

US Agg Float Adjusted (MV%) 28.13 13.42 10.19 0.86 1.17 1.20 20.07 38.38 34.44 32.49 1.95 0.41 3.53 100

U.S. Aggregate Comparison


US Aggregate (MV%) 26.41 13.47 10.44 0.80 1.10 1.13 18.84 41.28 37.59 35.75 1.83 0.38 3.32 100 Difference 1.72 -0.05 -0.25 0.05 0.07 0.07 1.23 -2.90 -3.15 -3.27 0.12 0.02 0.22 0.00 Note: Effective Date: October 31, 2009

The float-adjusted indices are complementary alternatives to the flagship


Global Aggregate and US aggregate Indices, which include agencies and MBS held in government accounts.

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 49.22 15.18 9.57 3.05 1.06 1.50 16.36 19.23 13.89 0.31 0.97 4.06 100 Global Agg Float Adjusted (MV%) 49.36 15.53 9.66 3.19 1.11 1.57 17.12 17.99 12.39 0.33 1.01 4.25 100 Difference 0.14 0.35 0.09 0.14 0.05 0.07 0.76 -1.25 -1.50 0.01 0.05 0.19 0 Note; Effective Date: October 31, 2009

U.S. Aggregate

Pan Euro Agg

Asia Pac Agg

U.S. Govt/Credit

Sterling Agg

Japanese Agg

U.S. MBS

Covered Total Source: Barclays Capital Indices

Source: Barclays Capital

BENCHMARK INDICES

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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.
Other Europe UK Eurozone US EMEA EM

GDP Weighted Country Blocs

Underlying composition of a GDP weighted benchmark is the same as that


of a market value weighted index. However, instead of weighting each security by its market value contribution to the overall benchmark, fixed GDP weights are applied at either a country bloc level to each of the 10 country blocs (3 Americas; 4 EMEA; and 3 Asia blocs) or at a specific country level.

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; 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

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Barclays Capital Investable Indices

INVESTABLE INDICES

37

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, 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, trading relationships, and controls

INVESTABLE INDICES

38

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, 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, notes, options Growing number of ETFs and ETNs referencing our index products

sibil it y

Research

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

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Live returns to multi-strategy allocations


TSP: Strategy Indices
220 210 200 190 180 170 160 150 140 130 120 110 100 90

Time Series Plots

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Axis Left Left Left Left Left

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

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


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

Portfolios can be set up to rebalance monthly or quarterly The analytics support equal weighted or equal volatility weighted combination methods

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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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

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+

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.
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Categorizing strategies
Most strategies can be categorized into one or more common themes or styles. Such categorization is typically a qualitative exercise and definitions of styles may differ by asset class. However, simple categorization can help the understanding of a strategy and indicate common characteristics. Macro-thematic Market technicals Carry Value Trend Momentum Volatility Market timing Market neutral

Strategies representing a fundamental, 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- 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

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Diversified systematic alpha: An example portfolio


Access to a portfolio of indices representing risk-return-optimized, dynamically rebalanced portfolios of investable indices. Well-diversified alpha or alternative beta exposure can be used as a low correlation overlay for many active low-risk portfolio management approaches. For further details see our research publications: Portfolios of strategies: Does anything beat equal volatility weighting?, 1 June 2010 and Diversified Systematic Alpha: Q4 2010 performance update, 5 January 2011.

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

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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

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2010

Source: Barclays Capital

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Overview of Flagship Investable Indices

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Rates: Overview and Classification


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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+

PRISM

INVESTABLE INDICES RATES

Index

Description

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Rates: Bond Futures Indices


Overview
Style Access Beta Featured Index US 10 YR Treasury Futures ER Bloomberg BXIIUS10 Live Date Jan 2009

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

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, Euro, Gilt, and Japanese markets. 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. The Bond Futures Indices rebalance quarterly before expiry to avoid any potential market distortions around delivery.

Source: Barclays Capital

Bond Futures Family


Coverage Exchange Futures US CBOT 2y, 5y, 10y notes and Long bond Euro EUREX Bund, Bobl, Schatz Gilt LIFFE Long Gilt JGB TSE 10y

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 4.21% 6.41% 0.7 9.09% -5.80% 13.98%

Last 12 Months 7.76% 4.16% 1.9 2.34% -1.05% 6.22%

Source: Barclays Capital

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Rates: EURFix and USDFix Swap Indices


Overview
Style Access Beta Featured Index EURFix Swap 5 YR ER Bloomberg BSWRFE05 Live Date Mar 2010

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. 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. Each index tracks the return of a receiver nominal par coupon interest rate swap for specific tenors and on each rebalance date, the current swap is unwound and a new swap position is initiated. The indices are available in EUR and USD and for 2yr, 5yr, 10yr, 15yr, 20yr, 25yr and 30yr maturities.

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, 2010


Statistic Annual excess return Annual excess return volatility Since Inception 2.29% 2.91% 0.8 2.80% -1.57% 9.97% Last 12 Months 3.39% 2.85% 1.2 1.84% -0.91% 3.36%

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

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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

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) 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% -1.0%

Barclays Capital US Treasury 2y/10y Yield Curve Index reflects investments in 2y and 10y futures positions, weighted to target a change in index level of 1 point per basis point increase in the 2y/10y slope of the yield curve. As such, the index level at a given point in time approximates the basis point differential between the 10y and 2y yield. The index rebalances monthly to maintain target exposures, and the underlying futures roll quarterly. This is an additive index, which starts at zero and can go negative. It does not compound and reflects unfunded investment.

Source: Bloomberg, Barclays Capital

2y/10y curve and US economic cycles, 1990-2010


Recession 3% Peak Yield Curve Slope

Historical performance: As of December 31, 2010


Statistic Avg. annual change in level Annual Std. Dev. of level changes Best monthly change Since Inception 22.3 61.0 59.0 -48.0 183.1 Last 12 Months -5.7 70.5 14.9 -16.1 86.8

2%

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Worst monthly change Worst drawdown change

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Source: Barclays Capital

-1% 1990

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Source: Barclays Capital

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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

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. 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. The BPX indices are in excess return format and are available for the EUR, GBP, and USD swaption markets. Available maturities vary from 2y/5y out to 15y/15y including most intermediate combinations.

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Source: Barclays Capital

Correlation of 10y10y BPX return vs. 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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 10.09% 17.48% 0.6 13.10% -15.02% 33.48%

Last 12 Months 16.31% 16.19% 1.0 12.19% -3.11% 15.76%

Source: Barclays Capital

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Rates: Trading the EURO-USD spread with CRYSTAL


Overview
Style Alpha Featured Index CRYSTAL ER Bloomberg BXIICYXI Live Date Sep 2009

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. 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. (2) Divergent policy mode: When CRYSTAL signals indicate a bias for European and US rates to move in opposing directions, CRYSTAL will take a spread position.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 4.96% 3.13% 1.6 4.47% -2.88% 6.32%

Last 12 Months 2.12% 1.69% 1.3 0.87% -0.61% 1.43%

0% 1999 2000 2001

Source: Barclays Capital

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Rates: Exploiting term premium with Exceed


Overview
Style Alpha Featured Index Atlantic Exceed ER Bloomberg BXIIEXMA Live Date Jan 2008

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. 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. The index is constructed using the front red interest rate future contracts which relate to the 3M Libor 1yr forward rate.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 2.32% 1.77% 1.3 1.49% -1.30% 2.91%

Last 12 Months 1.08% 1.32% 0.8 0.86% -0.44% 1.19%

Source: Barclays Capital

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Rates: Global Target Exceed


Overview
Style Alpha Featured Index Global Target Exceed ER Bloomberg BXIIEXGT Live Date May 2009

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

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, EUR, GBP and JPY futures markets. 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.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 3.95% 2.59% 1.5 2.52% -1.64% 3.24%

Last 12 Months 4.86% 1.84% 2.6 1.37% -0.56% 2.23%

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Source: Barclays Capital

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Rates: Dynamic swap curve positioning -TrendStar+


Overview
Style Alpha Featured Index TrendStar+ USD ER Bloomberg BXIITSTP Live Date Feb 2009

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. The strategy reverses to a flattener when short-term rates are expected to rise. The signal is based on the observation that the slope tends to flatten when short-term rates are rising. 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 - 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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 6.76% 6.08% 1.1 7.94% -6.53% 10.16%

Last 12 Months 6.92% 4.44% 1.6 1.88% -2.69% 5.41%

Source: Barclays Capital

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Rates: PRISM - combining rates alpha strategies


Overview
Style Alpha Featured Index PRISM ER Bloomberg BXIIPMER Live Date Sep 2009

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. This approach assigns lower weightings to highvol strategies. Additionally, a portfolio volatility cap reduces weightings in distressed situations in which correlations tend toward one. The PRISM index is the first application of the framework on three fundamentally motivated rates strategies: 1) Barclays Capital Atlantic Exceed - exploiting term premium in the front end of the yield curve, with a signal to go short in rising rate environments 2) Barclays Capital TrendStar+ - taking steepening or flattening positions in the 2y/10y part of the curve based on trends in short rates 3) Barclays Capital AIMS - long / short TIPS strategy that uses current and expected inflation signals to forecast flows between TIPS and nominal treasuries. The PRISM index targets a 2% risk contribution per index and a 4% portfolio risk cap.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 8.78% 4.26% 2.1 5.65% -2.10% 4.51%

Last 12 Months 5.17% 4.00% 1.3 2.24% -1.12% 4.51%

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Inflation: Overview and Classification


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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

INVESTABLE INDICES INFLATION

Index

Description

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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

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. ER indices are generated from pure swap performance based on NPV calculated using standard market conventions. TR versions assume an additional cash component earning Libor. These tradable indices can be combined to hedge or replicate liability profiles sensitive to inflation and rates. They can also be used as components in strategy index products.

Source: Bloomberg, Barclays Capital

Real rate Swap structure


Compounded Libor

Historical performance: As of December 31, 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 -1.37% 6.05% -0.2 3.37% -5.83% 14.21%

Last 12 Months -4.24% 6.13% -0.7 3.06% -2.73% 8.94%

Client
Fixed Breakeven

+
ZC inflation swap (IS)

Fixed Nominal Rate

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Barclays Capital
Source: Barclays Capital
Actual Inflation

ZC Real rate swap

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Inflation: INSPIRE Replicating expected inflation


Overview
Style Featured Index Bloomberg BXIIAII1 Live Date Feb 2009 Beta Replication AUD INSPIRE ER

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. 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, UK, and EUR. The weights are obtained monthly through the proprietary INSPIRE cost constrained optimization model, which dynamically replicates a forward interest rates-based Australian inflation measure by combining inflation swap breakevens from the US, UK, and EUR. The AUD INSPIRE Index can be used to replicate expected inflation in Australia at various tenors, currently available in excess return versions of 5yr, 10yr, and 20yr maturities.

Source: Barclays Capital

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Since Inception -0.74% 4.91% -0.2 3.61% -6.36% 15.06% Last 12 Months -4.09% 4.98% -0.8 2.25% -2.35% 7.95%

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, UK, EUR

INSPIRE optimisation model

AUD INSPIRE Index

Worst drawdown
Source: Barclays Capital

BE

Source: Barclays Capital

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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

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. 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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 5.00% 4.97% 1.0 5.84% -3.47% 8.71% Last 12 Months 2.04% 4.39% 0.5 2.68% -1.75% 5.38%

2%

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Best monthly return Worst monthly return

0%

Worst drawdown
Source: Barclays Capital

-1% 2002

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Source: Barclays Capital

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Credit: Overview and Classification


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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

INVESTABLE INDICES CREDIT

Index

Description

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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

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. These investments earn regular premiums in compensation for providing payments on default of any underlyings. The iTraxx Europe and Crossover portfolios represent the 125 most liquid investment grade companies and 50 most liquid high yield companies in Europe, respectively. The CDX IG portfolio represents the 125 most liquid North American investment grade companies.

110 105 100 95 90 2003

2004

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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, 2010


Statistic Annual total return Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 2.51% 0.12% 2.40% 0.1 2.51% -2.04% 7.18% Last 12 Months 1.36% 1.17% 1.95% 0.6 0.95% -1.11% 2.12%

50 0 2004

Worst monthly return Worst drawdown


2005 2006 2007 2008 2009 2010

Source: Barclays Capital

Source: Barclays Capital

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Credit: Spread trend-following with NEMO


Overview
Style Featured Index Bloomberg BXIINEMO Live Date Dec 2009 Alternative Beta NEMO EUR TR

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, NEMO. 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.

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 5.41% 3.28% 2.76% 1.2 2.58% -1.59% 3.90% Last 12 Months -0.47% -0.90% 1.92% -0.5 0.54% -0.99% 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

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Credit: Trading the curve through the cycle with BLSC


Overview
Style Alpha Featured Index BLSC EUR ER Bloomberg BCRIELSE Live Date Jan 2008

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. 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. The strategy rebalances monthly to maintain duration exposure and rolls every six months to the on-the-run iTraxx Crossover contracts.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 0.08% 2.90% 0.0 2.97% -3.71% 9.41%

Last 12 Months -2.30% 2.46% -0.9 1.24% -1.19% 3.44%

2005

2006

2007

2008

2009

2010

Source: Barclays Capital

INVESTABLE INDICES CREDIT

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FX: Overview and Classification


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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

INVESTABLE INDICES FOREIGN EXCHANGE

Index

Description

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FX: Liquid Basket


Overview
Style Beta Featured Index Liquid Basket USD ER Bloomberg Live Date BXIILIEU Oct 2010

Index performance
130 120 110 100 90 80 70 60 2000 Liquid Basket USD ER Index

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, expressed through 1-month cash settled FX forwards. The basket is constructed based on settlement data from the Bank for International Settlements (BIS) and currently consists of five currencies: Australian Dollar (AUD), Swiss Franc (CHF), Euro (EUR), British Pound (GBP) and Japanese Yen (JPY). The weightings of these currencies reflect the relative significance of the latest trade settlement volumes.

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2007

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2010

Source: Barclays Capital

Liquid Basket Weights (Oct 2010)


CHF, -7.53% AUD, -8.94%

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio
EUR, -46.00%

Since Inception -2.98% 8.49% -0.4 6.09% -6.49% 42.95%

Last 12 Months -3.10% 10.47% -0.3 4.57% -4.89% 15.47%

GBP, -15.18%

Best monthly return Worst monthly return Worst drawdown


Source: Barclays Capital

JPY, -22.35%

Source: Barclays Capital

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FX: Borrowing Units


Overview
Style Featured Index Bloomberg Live Date BXIIGBU Oct 2006 Alternative Beta Global Borrowing Unit ER

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

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. The portfolio is rebalanced monthly to reflect Libor rate changes while minimizing portfolio volatility. The interest rate of each unit is the weighted average of the optimized G10 portfolio. The Borrowing Unit indices are available in different currencies (USD, EUR, GBP and DKK).

Source: Barclays Capital

Global Borrowing Unit Weights (January 2011)


6% 4% 2.151% 2% 0.987% 0% -2% -4% -6% -8% EUR USD JPY GBP CHF CAD -6.612% AUD NZD SEK NOK -0.421% -1.358% -0.507% 0.904% 0.665% 0.672% 3.520%

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception -1.55% 4.63% -0.3 4.68% -5.57% 31.49%

Last 12 Months -0.54% 0.38% -1.4 0.09% -0.26% 0.75%

Source: Barclays Capital

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FX: Trade Weighted US Dollar Indices


Overview
Style Featured Index Bloomberg Live Date BXIIDDEU Feb 2009 Alternative Beta Dollar Diversification Index US ER

Trade Weighted USD ER Index

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, respectively, of the U.S. Dollar against a trade-weighted basket of other currencies. The basket of currencies is determined by the composition of the U.S.s key trading partners. The weights of these countries currencies in the basket have changed over time, reflecting changing trade balances of other countries with the U.S. These indices are designed to target a fixed volatility and are available in both total return and excess return versions.

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Source: Barclays Capital

Currency Basket Weights for 2011


EUR, 18.43% CAD, 22.93%

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 1.73% 5.56% 0.3 4.00% -5.92% 14.58% Last 12 Months 0.82% 6.02% 0.1 2.98% -3.55% 5.61%

GBP, 4.54% SGD, 2.02% KRW, 3.68% INR, 2.07% MXN, 16.59% JPY, 7.79% BRL, 2.49% CNY, 19.46%

Best monthly return Worst monthly return Worst drawdown


Source: Barclays Capital

Source: Barclays Capital

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FX: CPCI Commodity Producers Currency Index


Overview
Style Featured Index Bloomberg BXIIC6EU Live Date Feb 2010 Alternative Beta CPCI 6-Ccy USD ER

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. dollar. The CPCI indices track the performance of long positions in six equally weighted currencies (AUD, BRL, CAD, NOK, RUB, and ZAR) versus the U.S. dollar, expressed through 1-month cash settled forward rate agreements. 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, EUR, JPY, SGD, or USD.

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2010

Source: Barclays Capital

CPCI Weights
ZAR, 16.67% RUB, 16.67%

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 8.66% 9.78% 0.9 7.90% -12.17% 27.72% Last 12 Months 8.60% 10.61% 0.8 5.44% -5.50% 8.97%

NOK, 16.67%

AUD, 16.67%

Best monthly return Worst monthly return Worst drawdown


Source: Barclays Capital

CAD, 16.67%

BRL, 16.67%

Source: Barclays Capital

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FX: FX Volatility Index


Overview
Style Featured Index Bloomberg BXIIAEUS Live Date Jan 2009 Alternative Beta Alpha Vol USD ER

Index performance
160 150 140 130 120 110 100 90 2000 Alpha Vol USD ER Index

The Barclays Capital FX Volatility Index family takes long and short positions in forward volatility agreements for the G10 currencies. 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. 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, based on pre-defined risk and return parameters.

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2010

Source: Barclays Capital

Historical performance: As of December 31, 2010


Statistic Annual excess return Since Inception 3.91% 3.52% 1.1 2.77% -4.33% 9.25% Last 12 Months 6.89% 3.17% 2.2 1.98% -0.96% 1.80%

Alpha Vol Index Currency Weights (June 2010)


100% 75% 50% 25% 0% -25% -50% -75% -100% -66.67% 66.67%

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

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FX: ICI Intelligent Carry Index


Overview
Style Enhanced Beta Featured Index ICI USD ER Bloomberg BXIICRUS Live Date Jun 2006

Index performance
210 190 170 150 130 110 90 2000 ICI USD ER Index

The Intelligent Carry Index is intended to reflect the performance of the Intelligent Carry Strategy. The index aims to provide investors with optimized long/short exposure to G10 money-market instruments and earn yield differentials observed between markets. The weights assigned to the G10 positions are chosen through an optimization technique that targets the risk on the strategy.

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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% -5.92% -30.11% -25.95% -6.85% -15.09% 6.41% 13.81% 6.18% 60.76%

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 4.74% 6.09% 0.8 4.78% -4.77% 24.22%

Last 12 Months 3.33% 4.50% 0.7 1.96% -2.45% 5.44%

Source: Barclays Capital

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FX: FX Value Convergence Index


Overview
Style Alpha Featured Index FX Value Convergence USD ER Bloomberg BXIIVEUS Live Date Jan 2009

Index performance
150 140 130 120 110 100 90 2000 FX Value Convergence USD ER Index

Long-term currency investors tend to rely on a valuation benchmark, such as Purchasing Power Parity (PPP) Theory, to decide when currencies are undervalued or overvalued. The FX Value Convergence Index takes long and short positions in G10 currencies while targeting a volatility of 5%. The underlying portfolio rebalances monthly, taking long and short positions on currencies deemed to be converging back to their PPP-based fair value from being undervalued and overvalued, respectively.

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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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 2.20% 5.88% 0.4 9.78% -4.63% 10.61%

Last 12 Months -7.38% 5.95% -1.2 2.26% -3.25% 10.25%

Note: Chart for illustration only Actual historical strategy positions may differ. Source: Barclays Capital

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FX: Adaptive FX Trend


Overview
Style Alpha Featured Index Adaptive FX Trend USD ER Bloomberg BXIIATEU Live Date Sep 2008

Index performance
160 150 140 130 120 110 100 90 2000 Adaptive FX Trend USD ER Index

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%, invests in G10 currencies and rebalances daily. Long and short currency positions are set according to moving averages and volatility analysis and are adjusted by scaling according to volatility.

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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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 3.28% 5.46% 0.6 4.88% -3.93% 8.92%

Last 12 Months -0.04% 2.81% 0.0 1.25% -0.98% 3.37%

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. Source: Barclays Capital

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FX: FX Switch
Overview
Style Alpha Featured Index FX Switch USD ER Bloomberg BXIISWEU Live Date Apr 2010

Index performance
170 160 150 140 130 120 110 100 90 2002 FX Switch USD ER Index

The Barclays FX Switch Index utilizes market environment signals to dynamically allocate weights between three underlying FX index strategies the Intelligent Carry Index (ICI), the FX Value Convergence Index, and the Adaptive FX Trend Index. 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. Total Return and Excess Return formats are both available. The index is calculated in EUR; however, foreign currency versions are also available.

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Source: Barclays Capital

Dynamic Allocation Strategy of Switch


Favorable Carry Environment Unfavorable Carry Environment

Historical performance: As of December 31, 2010


Statistic Annual excess return Since Inception 4.92% 4.17% 1.2 3.90% -3.61% 7.41% Last 12 Months -0.25% 3.04% -0.1 1.21% -2.06% 4.73%

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

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Commodities: Overview and Classification


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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

ComBATS

INVESTABLE INDICES COMMODITIES

Index

Description

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Commodities: Barclays Capital Commodities Index


Overview
Style Access Beta Featured Index BCI USD TR Bloomberg BCC1C10T Live Date Jan 2011

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. The BCI uses liquidity as the criterion for commodity selection and index weighting. The index imposes sector- and commodity-level weight caps on top of the liquidity weighting to provide investors with a diversified exposure to commodity markets. To cater for different investment objectives, two benchmarks are available: BCI and BCI Trade-Weighted.

Source: Barclays Capital

BCI Index Family


Barclays Capital Commodity Index (BCI)

Historical performance: As of December 31, 2010


Statistic Annual total return Annual excess return Since Inception 12.30% 9.11% 18.56% 0.5 15.17% -24.45% 58.10% Last 12 Months 19.91% 19.69% 17.16% 1.1 8.17% -8.53% 14.16%

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

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Commodities: A benchmark for carbon BGCI


Overview
Style Access Beta Featured Index Emissions BGCI USD ER Bloomberg BXIIGCUP Live Date Dec 2007

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. Each scheme included in the index is represented by the most liquid instrument available in the marketplace. The index expects to incorporate new schemes as they develop around the world. At inception, the index includes two schemes: i) EU ETS Phase II and ii) Kyoto Clean Development Mechanism (CDM).

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2010

Source: Barclays Capital

Global Carbon Index Structure


Global Carbon Index

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Since Inception -2.48% 39.26% -0.1 24.36% -25.02% 71.19% Last 12 Months 11.07% 29.04% 0.4 24.36% -7.38% 16.54%

Scheme

EU Emissions Trading Scheme Phase II. European Union Allowance (EUA).

Kyoto Clean Development Mechanism. Certified Emission Reduction (CER).

Sharpe ratio
Other schemes as they become eligible ...

Best monthly return Worst monthly return Worst drawdown


Source: Barclays Capital

Carbon instrument

Futures Contract traded on European Climate Exchange (ECX).

Futures Contract traded on European Climate Exchange (ECX).

Source: Barclays Capital

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Commodities: Redefining commodity beta with Pure Beta


Overview
Style Enhanced Beta Featured Index Pure Beta DJ-UBSCI
SM

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. 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. Each month, 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.

Source: Bloomberg, Barclays Capital

Pure Beta Index Family


Barclays Capital single commodity Pure Beta indices

Historical performance: As of December 31, 2010


Pure Beta on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility
ComBATS Custom Baskets

Since Inception PB 11.13% DJ-UBS 5.27%

Last 12 Months PB 18.42% 15.83% 1.2 1.97% 1.87% 1.1 14.91% 15.86% DJ-UBS 16.67% 16.38% 1.0

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

16.37% 17.21% 0.7 5.39% 2.96% 1.8 55.35% 57.13% 0.3

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

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Commodities: Enhancing beta through term momentum


Overview
Style Enhanced Beta Featured Index Momentum Alpha DJ-UBSCI
SM

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. Momentum Alpha indices gain exposure to the point on the commodity term structure with the highest historical outperformance, or alpha. Momentum Alpha can be applied to any benchmark index, sector, or sub-index. Available as single commodity indices and highly customizable.

2% 1% 0% -1% -2% -3%

-4% 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Source: Bloomberg, 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, 2010


MA on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility Sharpe ratio Since Inception MA 11.48% DJ-UBS 5.27% Last 12 Months MA 16.13% 15.78% 1.0 -0.56% 2.11% -0.3 15.79% 15.86% DJ-UBS 16.67% 16.38% 1.0

Long or Long-Short Index baskets


ComBATS 6 ComBATS 7 ComBATS 8

16.51% 17.21% 0.7 5.69% 3.33% 1.7 53.73% 57.13% 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

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Commodities: Multi-strategy enhanced beta


Overview
Style Enhanced Beta Featured Index Multi-Strategy DJ-UBSCI
SM

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. Each commodity exhibits unique behavior and the MultiStrategy indices identify enhancements which are targeted to maximize beta returns at the individual commodity level. Strategies include roll yield maximization, momentum alpha, and a seasonal enhancement.

Source: Bloomberg, 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, 2010


MS on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility Sharpe ratio Annual Alpha Tracking Error Since Inception MS 12.13% DJ-UBS 5.27% Last 12 Months MS 18.25% 15.57% 1.2 1.34% 2.57% 0.5 14.87% 15.86% DJ-UBS 16.67% 16.38% 1.0

Corn Lean Hogs Soybean Oil Sugar

15.92% 17.21% 0.8 6.19% 3.54% 1.7 53.35% 57.13% 0.3

Standard Index Methodology Gold Silver

Information Ratio Worst drawdown


Source: Barclays Capital

Natural Gas

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Commodities: Navigating commodity markets


Overview
Style Enhanced Beta Featured Index Voyager DJ-UBSCI
SM

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, but switches to a market-neutral alpha allocation on a commodity-by-commodity basis if a bearish trend is detected. A signal based on technical factors is employed to switch from an enhanced beta (bullish) to alpha (bearish) allocation. The signal is tested twice a month, allowing the index to be response to trends in the markets.

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2010

Source: Bloomberg, Barclays Capital

Voyager Allocation Process


Calculation of the Signal Signal

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 16.89% 13.48% 1.3 12.20% -11.45% 27.05% Last 12 Months 16.04% 14.27% 1.1 6.13% -7.36% 12.11%

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

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Commodities: Value investing using fundamental factors


Overview
Style Enhanced Beta Featured Index Backwardation ER Bloomberg Live Date BCCFBKLP Dec 2010

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, backwardation and positive returns, Barclays Capital introduces the Backwardation Indices. 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, and in particular the degree of backwardation of the curve, is widely accepted to be a good proxy for scarcity.

Source: Bloomberg, Barclays Capital

Backwardation in commodity futures curves


Price Expectation of inventories returning to normal levels

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 25.08% 18.44% 1.4 14.61% -24.64% 52.67% Last 12 Months 36.03% 17.14% 2.1 8.91% -6.49% 14.38%

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

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Commodities: Fundamentals Series Backwardation L/S


Overview
Style Alpha Featured Index Backwardation Long Short ER Bloomberg BCCFBKAP Live Date Dec 2010

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. It takes a long position in the six most backwardated commodities and shorts the six most contangoed/least backwardated commodities. The selected commodities are equally weighted and the sum of the absolute weights is 100%. Commodities in backwardation have historically achieved higher returns, as seen in the figure below.

Source: Barclays Capital

Monthly average return vs. average slope (1999-2010)


2.5% 2.0% Average monthly return 1.5% 1.0% 0.5% 0.0%
Co tto n Co ffee Silver Go ld Kansas Wheat Wheat Natural Gas Co rn Co co a Zinc A lum. 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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Since Inception 15.68% 11.76% 1.3 9.56% -9.66% 15.42% Last 12 Months 13.04% 10.42% 1.3 5.19% -5.69% 11.53%

-0.5% -1.0% -15%

Contango -12% -9% -6% -3% 0% 3%

Backwardation 6% 9%

Source: Barclays Capital

Source: Barclays Capital

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Commodities: Market-neutral alpha strategy


Overview
Style Alpha Featured Index ComBATS 6 ER Bloomberg BCCAC06P Live Date Jan 2009

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. The Momentum Alpha indices measure the performance of holding and rolling futures contracts selected along the futures curve according to momentum of historical outperformance. ComBATS 6 is comprised of a basket of ten commodity longshort pairs selected to provide a balance of sector and commodity weights.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 9.60% 3.84% 2.5 2.94% -3.07% 5.64%

Last 12 Months 0.90% 4.12% 0.2 1.65% -2.51% 4.05%

Source: Barclays Capital

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Equities: Overview and classification


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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

INVESTABLE INDICES EQUITIES

Index

Description

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BARCLAYS CAPITAL INDICES

Equities: EM Series CEEMEA Sector Indices


Overview
Style Access Beta Featured Index CEEMEA Telecom Bloomberg BXIICEMT Live Date Oct 2009

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, Consumer, Energy, Material and Telecom) in the CEEMEA region through liquid and tradable instruments. Before being included in an index, each stock has to pass a screening process based on market capitalization and liquidity. 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.

Source: Barclays Capital

CEEMEA Selection Procedure


Initial Universe
Listed on the relevant exchanges Member of appropriate GICS sector

Historical performance: As of December 31, 2010


Statistic Annual price return Annual price return volatility Sharpe ratio Since Inception 17.00% 27.39% 0.6 18.34% -23.30% 65.21% Last 12 Months 7.01% 20.28% 0.3 9.94% -12.44% 23.08%

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

BARCLAYS CAPITAL INDICES

Equities: EM Series E7 Countries


Overview
Style Access Beta Featured Index E7 USD TR Bloomberg BXIIE7TU Live Date Jan 2010

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)

The Barclays Capital E7 Equity Index is constructed to provide exposure to equity shares in the E7 countries: China, India, Brazil, Mexico, Russia, Indonesia and Turkey. Each stock included in the index passes a screening process based on market capitalization and liquidity. The index rebalances twice a year on the second Monday in March and September according to the relevant exchange calendars.

2006

2007

2008

2009

2010

Source: Barclays Capital

E7 Selection Procedure
Initial Universe

Historical performance: As of December 31, 2010


Statistic Annual total return Since Inception 23.84% 20.71% 31.90% 0.6 20.95% -26.36% 70.02% Last 12 Months 20.88% 20.66% 24.96% 0.8 12.93% -6.94% 15.82%

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

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

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. 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, but with less volatility and tail risk. Current AEM countries are Singapore, Chile, Korea, Taiwan, Israel, China, Brazil, South Africa, Poland and the Czech Republic.

2006

2007

2008

2009

2010

Source: Barclays Capital

AEM Selection Procedure


Initial Universe

Historical performance: As of December 31, 2010


Statistic Annual total return Since Inception 22.87% 19.79% 27.90% 0.7 20.87% -30.55% 63.47% Last 12 Months 20.10% 19.88% 21.68% 0.9 10.96% -7.79% 14.60%

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

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

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, sector and investment themes through long-only investing. Before being included in an index each stock has to pass a screening process based on market capitalization, liquidity and a specific thematic Chips factor. The index then filters the remaining stocks for quality, based on the P/E ratio and the Return on Common Equity ratio.

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, 2010


Statistic Annual total return Annual excess return Annual excess return volatility Since Inception 10.37% 7.83% 19.45% 0.4 15.79% -17.44% 60.25% Last 12 Months 36.87% 36.28% 11.18% 3.2 7.57% -3.95% 9.98%

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

BARCLAYS CAPITAL INDICES

Equities: ASTRO Algorithmic Short Term ReversiOn


Overview
Style Featured Index Bloomberg BXIIASUE Live Date Sep 2010 Alternative Beta ASTRO US ER

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. The index employs a delta hedging approach through a long or short position on the underlying index, with capped delta exposure. The index is available in Excess Return and Total Return formats.

ASTRO Index Framework


Replicate variance spread payoff
The investment in rolling daily vs. weekly variance spreads, each starting on consecutive weekdays across the week, is replicated by a delta hedging methodology.

Source: Bloomberg, Barclays Capital

Historical performance: As of December 31, 2010


Statistic Annual excess return Since Inception 5.76% 8.91% 0.6 18.82% -5.40% 20.78% Last 12 Months 0.41% 2.51% 0.2 1.63% -1.18% 4.15%

Average Leveraged Delta


The delta obtained from replicating 5 equally weighted rolling variance spread positions is leveraged and averaged across weekdays.

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%.

Worst drawdown
Source: Barclays Capital

INVESTABLE INDICES EQUITIES

91

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

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.

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, Barclays Capital

Price return, excess return, and total return versions are available

Historical performance: As of December 31, 2010


Statistic Annual excess return Since Inception 17.18% 17.94% 1.0 22.08% -15.54% 23.30% Last 12 Months 14.85% 14.99% 1.0 9.46% -7.07% 10.39%

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

BARCLAYS CAPITAL INDICES

Equities: Navigator Capturing trends in stock indices


Overview
Style Alpha Featured Index Navigator EUR ER Bloomberg BXIINAVE Live Date May 2009

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, DAX 30 Index, CAC 40 Total Return Index, IBEX 35 Total Return, S&P/ MIB Total Return Index ). This is done by using a quantitative model, 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, short or neutral) over the next two weeks.

2002

2003

2004

2005

2006

2007

2008

2009

2010

Source: Bloomberg, 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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 14.61% 17.41% 0.8 22.47% -14.64% 27.89% Last 12 Months -11.36% 13.43% -0.8 6.55% -5.82% 18.02%

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

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

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. The initial universe is filtered based on market cap and daily turnover. A growth filter is applied to select stocks that have positive historical annual growth and positive expected growth, measured as the expected quarterly earnings per share for the next quarter minus the latest reported. Remaining stocks are ranked and the top 25 selected.

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Source: Bloomberg, Barclays Capital

Q-GSP selection procedure


Q-GSP Model Growth Filter Initial Universe of Stocks

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Since Inception 9.00% 8.62% 1.0 8.67% -5.12% 12.52% Last 12 Months 6.51% 2.77% 2.3 1.98% -0.80% 2.71%

+
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

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

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, as measured by the Barclays Capital Corporate Default (CDP) probability model. 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. The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index.

2002

2003

2004

2005

2006

2007

2008

2009

2010

Source: Bloomberg, Barclays Capital

Q-True Value selection procedure


Q-TV Model Value Filter Initial Universe of Stocks

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Since Inception 7.20% 7.71% 0.9 7.20% -5.95% 11.51% Last 12 Months -5.75% 6.34% -0.9 2.67% -2.64% 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

BARCLAYS CAPITAL INDICES

Equities: Q-BES Earnings Surprise strategy


Overview
Style Alpha Featured Index Q-BES USD ER Bloomberg BXIIQBEE Live Date Sep 2008

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. The index rebalances monthly to capture the most recent market information for a universe of stocks filtered through a number of value metrics. The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index.

250 200 150 100 50 0 1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Source: Bloomberg, Barclays Capital

Q-BES selection procedure


Q-BES Model Value Filter Initial Universe of Stocks

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Since Inception 11.82% 10.04% 1.2 10.53% -7.66% 21.05% Last 12 Months 2.19% 5.62% 0.4 1.91% -3.53% 8.59%

+
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-MA Merger Arbitrage strategy


Overview
Style Alpha Featured Index US Q-MA USD ER Bloomberg BXIIQMUE Live Date Nov 2010

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. The strategy takes a long position in the targets stock after a deal is announced and holds the position until completion or termination of the deal. The long portfolio of target stocks is hedged with the S&P500 TR index to make the index market neutral.

100 80 60 40 20 0 2005

2006

2007

2008

2009

2010

Source: Bloomberg, Barclays Capital

Q-MA selection procedure


Initial Universe Selection Process Weights Determination Investment

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Since Inception 5.97% 5.23% 1.1 6.61% -3.87% 10.23% Last 12 Months 6.95% 5.89% 1.2 4.04% -1.88% 4.74%

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

BARCLAYS CAPITAL INDICES

EM: Overview and Classification


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EM Tradable Bond Family EM Swaps Equity EM Series1 GEMS KRW Term Premium SGD Exceed

Diversified, tradable, 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

1 Details of the Equity EM Series can be found in the Investable Indices Equities section. INVESTABLE INDICES EMERGING MARKETS

Index

Description

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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; 2) Central Europe, Middle East and Africa (EMEA); and 3) Asia.

180 170 160 150 140 130 120 110 100 90 2004 2005 2006 2007 2008 2009

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, yet tradable, by including a single liquid bond from each eligible EM issuer, and diversified, by capping and flooring both the region and country exposures in the index according to the index rules.

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, rather than using the market value of outstanding debt as in traditional benchmarks.

Source: Bloomberg, Barclays Capital

GDP-Capped Country Weights: May 2010


10% 9% 8% 7% % of Index 6% 5% 4% 3% Hungary Uruguay Panama S. Africa S. 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) 16.08 14.66 1.42 12.32 10.51 1.81 9.62 9.94 -0.32 5.50 6.10 -0.60 -10.70 -10.63 -0.07 24.88 27.58 -2.70 3.28 3.84 -0.56 9.93 10.07 -0.14 Avg Monthly TEV -0.02 Realized TEV 0.99 Corr. of monthly returns 97.5%

Qatar

Brazil

Israel

Peru

Source: Barclays Capital

UAE

Source: Barclays Capital

INVESTABLE INDICES EMERGING MARKETS

99

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, comprised of debt from up to sixteen EM sovereign issuers.

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, Eastern Europe, Asia, and Middle East and Africa), with caps and floors by both country and region to ensure diversification across markets.

The index is designed to be broad-based in its coverage of local EM


debt markets, yet tradable, by selecting a maximum of three bonds per country and rebalancing only semi-annually, in May and November.

Jan-09
EMLO CALIndex

Jul-09

Jan-10

Jul-10

EM Local CurrencyG Index ovt

Source: Bloomberg, Barclays Capital

Country Weights: November 2010


14% 12% 10% 8% 6%
Czech Rep

Historical Quarterly Returns (USD, 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 -7.53% -5.44% 13.32% 7.94% 3.63% 4.40% -3.99% 11.02% 0.30% 4.68%

EM Loc Currency Difference Govt Index (bps) -5.56% -6.76% 12.38% 8.29% 3.23% 4.75% -3.30% 11.04% 0.06% 4.44% -197 132 94 -35 40 -35 -69 -2 24 24 1 84 100

4%
Thailand Malaysia S.Korea Poland Russia Indo.

Hungary

Mexico

Brazil

0%
Source: Barclays Capital

Israel

Chile

Peru

2%

Egypt

S.Africa

Turkey

Average Monthly TE Realized Monthly TE

INVESTABLE INDICES EMERGING MARKETS

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.
180 160 140 120 100 80 60 Mar-07 Mar-08 Mar-09

EMGILB Constrained

Index performance (USD, Unhedged)


EMTIL EMGILB x Col x Arg (Constrained )

EMTIL includes representative and liquid benchmark-eligible bonds


from Brazil, Mexico, Chile, South Africa, S. Korea, Turkey, and Poland with a 25% country cap/5% floor to provide diversification. Israel will be eligible for inclusion in 2011.

The index is designed to be broad-based in its coverage of local EM debt


markets, yet tradable, by selecting between one and three bonds per country and rebalancing annually.

Index returns are calculated net of annual rebalancing costs.

Mar-10

Source: Bloomberg, Barclays Capital

Country Weights: March 2010 Rebalancing


Chile 5.8% Turkey 20.2% S.Africa 14.0% Mexico 25.0% Poland 5.0% S.Korea 5.0% Brazil 25.0%
Source: Barclays Capital

Historical Quarterly Returns (USD, 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) 13.98% 15.17% 0.92 1.27% 0.99 54 11.15% 18.25% 0.61 4.24% 0.95 65

12.79% 15.47% 0.83 13

INVESTABLE INDICES EMERGING MARKETS

101

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

Index performance
135 130 125 120 115 110 105 100 95 90 2002 2003 2004 2005 2006 2007 2008 2009 2010 2 1.5 4 3.5 3 2.5 SGD 10Y Swap ER Index SGD 10Y Swap Rate (RHS) 5 4.5

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. The indices can be used as cost efficient systematic duration access tools, hedging tools, benchmarks, and components in strategy indices. 1yr forward 1yr receive fix swap indices supplement the core spot starting indices. A long-dated SGD index is also available.

Source: Bloomberg, Barclays Capital

EM Swap Index Families


EEMEA Swap Index Family CZK, HUF, ILS, PLN, SAR, ZAR 1Y-10Y Indices Investable Asia Swap Index Family HKD, KRW, SGD, THB, TWD 1Y-5Y, 7Y & 10Y Indices Investable 6Y, 8Y & 9Y Indices are Indicative 1Y forward 1Y Indices Investable ZAR 5Y forward 5Y Indices Investable SGD 20Y Indices Investable HDK, KRW, THB & TWD 20Y Indices in development Source: Barclays Capital

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 2.41% 7.26% 0.3 8.25% -6.77% 17.40%

Last 12 Months 2.77% 4.45% 0.6 2.74% -1.69% 7.04%

INVESTABLE INDICES EMERGING MARKETS

102

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

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, liquid, and diversified investment. The GEMS indices are based on the concept of accessing short-term money markets in 15 major emerging markets across the world. Various sub-indices reflecting certain regions, such as LatAm, BRIC, and Asia, as well certain currency policies, such as the index of pegged currencies.

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, 2010


Statistic Annual excess return Annual excess return volatility Since Inception 8.73% 7.85% 1.1 5.79% -11.38% 23.12% Last 12 Months 5.96% 8.21% 0.7 4.51% -4.27% 6.95%

Total Return
Global EEMEA ASIA LatAm

Alpha
EUR JPY AUD

Spot
Global Pegged Asia - 8 BRIC

Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Source: Barclays Capital

INVESTABLE INDICES EMERGING MARKETS

103

BARCLAYS CAPITAL INDICES

EM: KRW Rates Term Premium


Overview
Style Alpha Featured Index KRW Rates Term Premium ER Bloomberg BXIIKRTP Live Date Dec 2010

Index performance
110 108 106 104 102 100 98 2002 KRW Rates Term Premium ER Index KRW Rates Term Premium Long-Only ER Index

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. The index framework dynamically selects long or short positions in forward swaps given trends in rates and the shape of the swap curve. Given that Korea is a very open economy, the trend component of the signal also assesses information from the US rates markets.

2003

2004

2005

2006

2007

2008

2009

2010

Source: Barclays Capital

KRW and USD rates correlation on monthly changes


7% 6% 5% 4% 0.3 3% 2% 1% 0% 2001 0.2 0.1 0.0 2002 2003 2004 2005 2006 2007 2008 2009 2010 KRW 1Y Swap Rate Correlation (RHS) USD 3M LIBOR Full sample correlation (RHS) 0.6 0.5 0.4

Historical performance: As of December 31, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 1.01% 0.99% 1.0 1.31% -0.87% 1.32%

Last 12 Months 1.74% 0.36% 4.9 0.29% -0.06% 0.43%

Source: Bloomberg, Barclays Capital

INVESTABLE INDICES EMERGING MARKETS

104

BARCLAYS CAPITAL INDICES

EM: SGD Exceed Front-end alpha extraction


Overview
Style Alpha Featured Index SGD Exceed ER Bloomberg BXIISGEX Live Date Jan 2010

Index performance
110 108 106 104 102 100 98 2002 SGD Exceed ER Index SGD Exceed Long-Only ER Index

Tradable, transparent, 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. The default position is long the swap, benefiting from positive roll down, due to the term premium. However there is a long/ short feature based on a rates trend identification signal. SGD and USD short rates define the signal since Singapore is a trade-oriented economy managing a trade-weighted currency and, thus, is influenced by local conditions and the US.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 1.04% 0.76% 1.4 0.80% -0.39% 1.21%

Last 12 Months 0.96% 0.58% 1.7 0.36% -0.20% 0.43%

Source: Bloomberg, Barclays Capital

INVESTABLE INDICES EMERGING MARKETS

105

BARCLAYS CAPITAL INDICES

Index Replication: Overview and Classification


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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

INVESTABLE INDICES INDEX REPLICATION

Index

Description

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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

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. The basket is reconstituted each month, using a mechanistic algorithm to match, as closely as possible, the term structure and spread exposures of the relevant Barclays Capital index. RBI baskets can be created on any Barclays Capital Index or custom index. A series of RBI baskets with different derivative replication strategies are also available for the same benchmark index.

2005

2006

2007

2008

2009

2010

Source: Barclays Capital

Performance of RBI Baskets (Apr 2004Apr 2010)


RBI Basket
US Aggregate RBI US Gov/Credit RBI

Description
TRS (UST, MBS) Swaps, CDX TRS (UST), Swaps, CDX TRS (UST, US MBS), Swaps, JGB futures, CDX, iTraxx Swaps, JGB futures, CDX, iTraxx Futures, Swaps, iTraxx Swaps, JGB futures

TEV (bp/mo)
44.0 57.8

|TE| Worst (bp)


185.6 233.8

Different RBI Baskets for Different Benchmarks


Global Aggregate Global Aggregate Ex USD Japanese Aggregate

Global Aggregate RBI


US Aggregate

34.5

174.1

RBI Baskets

Global Aggregate x US RBI


European Aggregate

33.3 38.2 21.2

161.9 157.2 81.1

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

BARCLAYS CAPITAL INDICES

Index Replication: Tracking MBS using REMIX


Overview
Style Access Beta Featured Index MBS Index Replication Portfolio Live Date Sept 2001

Adding MBS Allocation to an Intermediate UST Portfolio Improves Overall Portfolio Performance
0.50 0.48
Sharpe Ratio

The Replicating Mortgage Index is a portfolio that holds 12-18 liquid TBA positions, rebalanced monthly, to track the performance of the US MBS Fixed-Rate Index. 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. Performance has closely tracked the MBS Index: the average monthly tracking error has been -0.4 bp/mo with a tracking error volatility of 7.9bp/mo. Customized/tailored versions of REMIX are available.

0.46 0.44 0.42 0.40 0%

10%

20%

30% 40% 50% 60% 70% Portion (%) of MBS in Portfolio

80%

90%

100%

Note: Data 1/984/10. Source: Barclays Capital

Tracking Error: REMIX vs. Fixed Rate MBS Index


20 10
Tracking Error (bps)

Adding MBS to an Intermediate UST Portfolio Improves the Portfolios Tail Risk Properties
MBS proportion Monthly total return Monthly total return volatility Best monthly return Worst monthly return 0% 0.42% 0.98% 3.70% 20% 0.43% 0.95% 3.57% 40% 0.44% 0.94% 3.45% 60% 0.45% 0.94% 3.33% 80% 0.47% 0.96% 3.21% 100% 0.48% 0.99% 3.08%

0 -10 -20 -30 -40 -50 -60 2001

2002

2003

2004

2005

2006

2007

2008

2009

-2.26% -2.87% -3.55% -4.23% -4.92% -5.60%

Source: Barclays Capital

Note: Data: 1/984/10. Source: Barclays Capital

INVESTABLE INDICES INDEX REPLICATION

108

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

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. LBAR takes positions in a dynamic basket of investable market instruments that rebalances on a monthly basis. Weights are chosen based on a factor model. The Short Barclays Alternatives Replicator (SBAR) offers short exposure to HFRI Composite.

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, 2010


Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital

Since Inception 3.58% 7.45% 0.5 7.13% -8.69% 26.22%

Last 12 Months 2.19% 5.68% 0.4 2.08% -3.14% 6.57%

Source: Barclays Capital

INVESTABLE INDICES INDEX REPLICATION

109

BARCLAYS CAPITAL INDICES

Overview of Barclays Capital POINT


Innovative Multi-Asset Portfolio Analysis

OVERVIEW OF BARCLAYS CAPITAL POINT

110

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, leveraging Barclays Capital research and technology to offer advanced index analysis, multi-asset portfolio construction, risk forecasting, and performance analysis. The POINT platform combines the intellectual capital of Barclays Capitals leading research and trading operations with a highly scalable technology solution that supports more than 200 institutions globally, processing more than 10,000 portfolios and more than 1.3mn securities daily.
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, enterprise-wide batch processing Client data security

Indicative, price, and analytical data Option-adjusted analytics based on government, swap, and municipal curves Equity sector betas and sensitivities to fundamental and technical factors
111

OVERVIEW OF BARCLAYS CAPITAL POINT

BARCLAYS CAPITAL INDICES

Barclays Capital POINT Security/Instrument Coverage


MULTI-ASSET Cash Equities, Common Stock, Closed-end Funds, ETFs, ADRs, and REITs Cash Fixed Income, Treasury, Agencies, Corporate, Municipals, and Inflation-Linked Securities Securitized Products, MBS, ABS, CMBS, and CMO
et ss -A lti u M

INTEREST RATES AND DERIVATIVES IR Swaps, Caps/Floors, Swaptions, CDS


IR

Bond Futures, IR Futures, and Options


& De riv

CDX, TRS, FX Forwards, Eurodollars


at iv es

Listed equity options on single-name stocks, 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, 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

BARCLAYS CAPITAL INDICES

POINT: Advanced Portfolio Models


Global Risk Models
Decompose relative and absolute risk using intuitive, detailed, 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, 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, another portfolio, or cash Define a multi-level partition to mimic a portfolios 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

BARCLAYS CAPITAL INDICES

POINT: Quantitative Tools for Portfolio Management


Portfolio Optimizer
Run fast, scalable linear, and nonlinear optimization in a friendly user-interface Target portfolio characteristics including risk, analytics, and custom data Construct, rebalance, 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

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.S. Aggregate Bond Index U.S. Credit Bond Index U.S. 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

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. Historical data after these dates reflect live index performance. All historical data prior to the indices Live Date are derived from hypothetical back-testing. Source: Barclays Capital

116

BARCLAYS CAPITAL INDICES

Contacts
New York
Barclays Capital 745 7th Avenue New York, NY 10019 +1 212 526 7400 Index-us@barcap.com

London
Barclays Capital 5 The North Colonnade London E14 4BB +44 (0) 20 7773 3744 index-uk@barcap.com

Singapore
Barclays Capital 1 Raffles Quay Singapore, 048583 +65 6308 2225 index-sg@barcap.com

Tokyo
Barclays Capital Japan Limited 31F Roppongi Hills Mori Tower 6-10-1 Roppongi, Minato-ku, Tokyo 106-6131 +81 3 4530 1760 index-tk@barcap.com

Index, Portfolio and Risk Solutions


Waqas Samad Head of IPRS +44 (0) 20 313 42104 waqas.samad@barcap.com Nicholas Gendron Index Licensing +1 212 526 6758 nicholas.gendron@barcap.com Donal Creed Index Production +1 212 526 9424 donal.creed@barcap.com

Benchmark Indices
Global Brian Upbin, CFA, CAIA +1 212 526 6981 brian.upbin@barcap.com US Sherwood Kuo, CFA +1 212 526 2490 sherwood.kuo@barcap.com Europe Anand Venkataraman +44 (0) 20 7773 0852 anand.venkataraman@barcap.com Scott Harman +44 (0) 20 7773 1775 scott.harman@barcap.com Asia Norman Tweeboom +65 6308 3870 norman.tweeboom@barcap.com Tadashi Tago +81 3-4530 1772 tadashi.tago@barcap.com

Investable Indices
Global Anthony Lazanas +1 212 526 3127 anthony.lazanas@barcap.com US Graham Rennison +1 212 526 6675 graham.rennison@barcap.com Zarvan Khambatta, CFA +1 212 526 2715 zarvan.khambatta@barcap.com Europe Jose Mazoy +44 (0) 20 3134 0998 jose.mazoy@barcap.com John Williams +44 (0) 20 7773 2419 john.williams@barcap.com Europe Lee Phillips lee.phillips2@barcap.com +44 (0) 20 7773 3473 Asia Norman Tweeboom norman.tweeboom@barcap.com +65 6308 3870 Asia Rahul Sharma +65 6308 3982 rahul.sharma@barcap.com

POINT
US Paul Salerno paul.salerno@barcap.com +1 212 526 9779

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