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INDEX, PORTFOLIO AND RISK SOLUTIONS February 2011 BARCLAYS CAPITAL INDICES BRINGING CLARITY TO THE INVESTMENT PROCESS
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Page 1: Barclays Capital Indices

INDEX, PORTFOLIO AND RISK SOLUTIONS February 2011

BARCLAYS CAPITAL INDICES BRINGING CLARITY TO THE INVESTMENT PROCESS

Page 2: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

Contents

Index, Portfolio and Risk Solutions 1

Barclays Capital Benchmark Indices

Overview of Flagship Benchmark Indices

7

16

Barclays Capital Investable Indices

Overview of Flagship Investable Indices

37

47

Overview of Barclays Capital POINT® 110

Quick reference for featured Benchmark Indices

Quick reference for featured Investable Indices

115

116

Contacts Inside Back Cover

Page 3: Barclays Capital Indices

INDEX, PORTFOLIO AND RISK SOLUTIONS

1

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.

Benchmark & Investable Indices Portfolio Modeling & POINT®

Barclays Capital Research

Index, Portfolio and Risk Solutions (IPRS)

Credit MagazineAmericas Awards

Best Index Providerfor the second consecutive yea

November 2010

Credit MagazineAmericas Awards

Best Index Providerfor the second consecutive yea

November 2010

Credit MagazineAmericas Awards

Best Index Providerfor the second consecutive yea

November 2010

Credit MagazineEuropean Awards

Best Index Providerfor the second consecutive year

July 2010

Credit MagazineEuropean Awards

Best Index Providerfor the second consecutive year

July 2010

Credit MagazineEuropean Awards

Best Index Providerfor the second consecutive year

July 2010

All-America Fixed Income Research Poll

#1 Bond Market Indexesfor 14 consecutive years

September 2010

All-America Fixed Income Research Poll

#1 Bond Market Indexesfor 14 consecutive years

September 2010

All-America Fixed Income Research Poll

#1 Bond Market Indexesfor 14 consecutive years

September 2010

Page 4: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INDEX, PORTFOLIO AND RISK SOLUTIONS

2

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

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

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

RESEARCH & ADVISORY • Benchmark Selection

• Original research on investment strategies

• Client Portfolio Analysis & Advisory Services

• Research Publications & Topical Studies

PORTFOLIO STRUCTURING SOLUTIONS • Portfolio vs. Index Structural

Comparisons & Analysis • Flexible Benchmark Replication • Portfolio Optimization with Constraints • FX Hedging & Overlays • Optimal Hedge Construction

PORTFOLIO PERFORMANCE & RISK • Multi-Asset Portfolio Performance

Attribution • Security Level Risk Analytics

and Valuations • Tracking Error Estimation & Breakdown • Portfolio and Index Tail Risk Estimation

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

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BARCLAYS CAPITAL INDICES

INDEX, PORTFOLIO AND RISK SOLUTIONS

3

What is an index?

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

Investor Market Access INDEX

Investment goal

Constraints

Rules-based

Transparency Trading expertise

Risk management

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BARCLAYS CAPITAL INDICES

INDEX, PORTFOLIO AND RISK SOLUTIONS

4

The New Frontier of Index Products: From Beta to Alpha

β α

Broad Market Benchmark Indices

Beta Replication Products

Common investment strategies with established

performance patterns

Active strategies with attractive risk/return

Access Products for markets without

liquid benchmarks

Alternative Beta

• 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.

Page 7: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INDEX, PORTFOLIO AND RISK SOLUTIONS

5

Overview of Barclays Capital Benchmark Indices

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

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

Customized Index Solutions/Advisory Services

Broad Market Fixed Income and Inflation Benchmarks

Alternative Beta

Beta replication

Enhanced access to established beta

β

α

Common investment strategies with established performance patterns

Active strategies with attractive risk/return

A Full Spectrum of Indices Timeline: Major Index Launches Benchmark Product Coverage

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

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

adjusted Indices, Alternative Weight Indices, Bespoke Client Indices

• Index Replication and Portfolio Rebalancing

• Portfolio Risk and Performance Analysis: Hedging Strategies and Optimization

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 Corpo-rate; 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 Securi-ties (2000); Pan-Euro Emerging Markets; Global Emerging Markets

2002 Pan-Euro Universal (2001); Euro, Sterling, & Yen Swaps (1999); Danish MBS; Canadian Aggre-gate; 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

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BARCLAYS CAPITAL INDICES

INDEX, PORTFOLIO AND RISK SOLUTIONS

6

Barclays Capital Suite of Investable Indices

Broad market fixed income and inflation benchmarks

Alternative Beta

β

α

Common investment strategies with established performance patterns

Active strategies with attractive risk/return

A Full Spectrum of Indices Comprehensive Coverage 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

Beta replication

Enhanced access to established beta

Common Investment strategies

Fundamental

Enhanced Carry

Trend Following

Relative Value

Momentum

Macro Thematic

Extensive Resources

Asset classes

Commodities

Credit

Equities

Emerging Markets

Foreign Exchange

Rates/Inflation

• Centralized across all asset classes

• 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

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BENCHMARK INDICES 7

Barclays Capital Benchmark Indices

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BENCHMARK INDICES 8

Why investors use Barclays Capital Benchmark Indices

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

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

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

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

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.

• Marketing & Sales • Investor Relations • Investment Consultants • Structuring • Pricing Analysts • Operations & Market Data

• Portfolio Managers • Investment Officers • Asset Allocators • Performance Analysts • Risk Managers • Research Analysts • Trading

Investment Professionals Using Barclays Capital Benchmark Indices

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BENCHMARK INDICES 9

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

Overview of Benchmark Index Methodology and Construction

Returns Universe

Projected Universe Forward

Backward

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 • Dynamic Universe changes daily • Includes bonds that have been newly issued

during the month or upgraded • Used to forecast next month’s returns universe • Statistics universe as of the next index

rebalancing date becomes next month’s re-turns universe

Mechanics of Monthly Benchmark Index Rebalancing

General Principles and Index Conventions Rules Based Barclays Capital Indices are designed to be robust and objective in their measurement of bond market performance. • To be index eligible, a security must meet all published eligibility

criteria. This allows index users not only to understand their bench-mark’s 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).

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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 appro-priate 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 Description Examples Enhanced Constraint Indices • Applies a more or less stringent set of constraints to an

existing index • US Aggregate Ex Baa • Global High Yield Ex Tobacco Ex Gaming

Composite Indices • Investors assign their own weights to sectors or other index subcomponents within an overall index

• These indices can be created to match an investor’s targeted portfolio allocation

• 50% US Treasury, 25% MBS 25% Corporates • 50% Pan Euro Agg 50% Asia Pac Agg

Very Liquid Indices • Indices that choose largest and most recently issued bonds from a given issuer

• US HY VLI Index

Liability Driven Indices • Indices designed to match a specific investor’s liability stream or future cash flow obligations

• Often built using swaps indices or strips

• An index of zero coupon nominal swaps with weights matching the cash flows of a specific liability stream

Issuer-Constrained Indices • 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

• 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

Alternative Weight Indices • Indices that use other rules-based weighting schemes instead of market value weights

• Global Treasury GDP Weighted Index

Source: Barclays Capital

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BENCHMARK INDICES 11

Replicating Returns of Fixed Income Indices

Broad market fixed income and inflation benchmarks

Alternative Beta

β

α

Common investment strategies with established performance patterns

Active strategies with attractive risk/return

The Spectrum of Index Products

Beta Replication

Enhanced access to established beta

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 Pros Cons Cash Bond Portfolio • Low tracking error • Uses cash

• Regular rebalancing • Requires market knowledge

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

• Counterparty risk; however, this can be mitigated by ISDA/CSA agreements

• Limited beta choices • Leverage

Derivatives Replication with an RBITM Swap

• 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

• Counterparty risk • Potential for large tracking error over

short periods

Exchange Traded Products (ETFs/ETNs)

• Improved liquidity relative to mutual funds • Low maintenance • Transparent holdings when ETF uses cash

replication

• Potential for tracking error, depending on replication technique used

• Counterparty risk if ETF uses swap based index replication

IPRS Services for Index Replication

Source: Barclays Capital

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BENCHMARK INDICES 12

Accessing Index Data Using Barclays Capital Live

The IPRS website on Barclays Capital Live (keyword: indices) offers: • 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 Time Series

Index Constituents

Index Charts

Barclays Capital Live is a web-based portal for clients to access index data, analytic tools, research, trad-ing, risk management, and reporting systems through a single site.

Source: Barclays Capital Live

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The Barclays Capital Index Website

www.barcap.com/indices

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

Daily Benchmark Returns

Fact sheets for major index families

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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 third-party portfolio analytical systems. Contact Barclays Capital for a list of providers.

• Data can also be sent directly to index users on a daily basis via email and automated FTP.

BCIX or LEHM <GO>

Source: Bloomberg Source: Bloomberg

Source: Bloomberg Sample Index Ticker on Bloomberg (US Aggregate)

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BENCHMARK INDICES 15

Market Structure Reporting

Source: Barclays Capital

Index Dynamics & Turnover Analysis

Source: Barclays Capital

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

Portfolio versus Benchmark Analysis

Source: Barclays Capital

For more information on POINT, see the POINT overview in the final section of this guide.

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Overview of Flagship Benchmark Indices

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Index Family Structure

Source: Barclays Capital

Global Aggregate Bond Index

Sector by Currency Composition Sector USD EUR GBP JPY Other

Treasury 10.3% 16.6% 3.3% 14.7% 4.3%

Gov-Related 6.3% 4.6% 0.7% 1.9% 1.6%

Corporate 8.0% 5.5% 1.3% 1.0% 0.5%

MBS 13.9% 0.0% 0.0% 0.0% 0.0%

ABS 0.1% 0.1% 0.1% 0.0% 0.0%

CMBS 0.9% 0.0% 0.0% 0.0% 0.0%

Total 39.7% 30.3% 5.5% 17.6% 6.9%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

Total

49.2%

15.2%

16.4%

13.9%

0.3%

1.0%

100%

Covered 0.1% 3.5% 0.0% 0.0% 0.5% 4.1%

Overview

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

• 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. Ag-gregate Index (USD 300mn), the Pan-European Aggregate Index (EUR 300mn), and the Asian-Pacific Aggregate Index (JPY 35bn).

• 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.

Key Rules • USD 300mn, EUR 300mn, GBP 200mn, JPY 35bn (or

regional equivalent) minimum outstanding

• Rated IG using middle rating of Moody’s, 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 Currency Denomination Bloomberg

January 1, 1990 Multi ALLX <LEGA> <GO>

Asia-Pac Agg

Japan Agg

Non-Japan

Pan Euro Agg

Euro Agg

Sterling Agg

Other PE

US Agg 300MM

US Govt-Rel

US Treasury

US Corporate

US Securitized

Other

Global Tsy

Eurodollar

144A

Euro-Yen

CAD Agg

α β

Global Aggregate

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Index Family Structure

Source: Barclays Capital

U.S. Aggregate Bond Index Sector by Quality Composition

Sector AAA AA A BAA Total

Treasury 26.4% 0.0% 0.0% 0.0% 26.4%

Govt-Related 11.1% 0.8% 0.6% 0.9% 13.5%

Corporate 0.1% 2.9% 8.8% 7.0% 18.8%

MBS 37.6% 0.0% 0.0% 0.0% 37.6%

CMBS 2.8% 0.1% 0.3% 0.1% 3.3%

ABS 0.4% 0.0% 0.0% 0.0% 0.4%

Total 78.3% 3.9% 9.7% 8.1% 100%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

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 pass-throughs), ABS, and CMBS

• 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 sub-indices 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

Key Rules • $250mn minimum amount outstanding • Rated IG by middle rating of Moody’s, S&P, and Fitch • At least 1 year until final maturity

• SEC-registered or Rule 144A with registration rights

• Fixed-rate and step-up coupons • Denominated in USD

• Fully taxable

Inception Currency Denomination Bloomberg

January 1, 1976 USD ALLX <LBUS> <GO>

U.S. Treasury

U.S. Agency

U.S. Credit

U.S. Corporate

Sovereign, Local Authority,

Supranational, Non-U.S. Agency

U.S. MBS

U.S. CMBS

U.S. ABS

U.S. Government U.S. Securitized

α β

U.S. Aggregate

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Index Family Structure

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

Pan European Aggregate Bond Index Sector by Quality Composition Sector AAA AA A BAA Total

Treasury 37.1% 15.3% 3.6% 0.3% 56.3%

Gov-Related 9.3% 3.0% 1.5% 0.6% 14.3%

Corporate 0.4% 4.5% 9.0% 4.3% 18.2%

ABS 0.3% 0.1% 0.1% 0.1% 0.5%

CMBS 0.1% 0.0% 0.0% 0.0% 0.1%

Covered 10.0% 0.6% 0.1% 0.0% 10.6%

Total 57.1% 23.4% 14.4% 5.2% 100% Source: Barclays Capital. Note: Effective Date: Oct. 31, 2009

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*.

• 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 Moody’s, 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 Currency Denomination Bloomberg

January 1, 1999 Multi ALLX <LP06> <GO>

α β

Pan Euro Aggregate

Sterling Aggregate

UK Gilt

UK Non-Gilt

Euro Treasury

Euro Gov-Related

Euro Corporate

Euro Securitized

Swedish Agg

Danish Agg

Norwegian Agg

Others

Swiss Franc*

Central Europe

Euro Aggregate

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Index Family Structure

Source: Barclays Capital

Sterling Aggregate Bond Index

Sector by Quality Composition Sector AAA AA A BAA Total

Treasury 60.4% 0.0% 0.0% 0.0% 60.4%

Gov-Related 11.8% 0.7% 0.4% 0.3% 13.2%

Corporate 0.3% 5.5% 11.6% 5.9% 23.4%

ABS 0.5% 0.3% 0.6% 0.5% 1.9%

CMBS 0.4% 0.2% 0.2% 0.1% 0.9%

Covered 0.4% 0.0% 0.0% 0.0% 0.4%

Total 73.8% 6.7% 12.8% 6.7% 100% Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

Overview

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

• 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, Floating-Rate Notes, Asset-backed Securities (fixed and floating), Linkers, Swaps, Inflation Swaps, and Emerging Markets.

Key Rules • GBP 200mn minimum amount outstanding • Rated IG using middle rating of Moody’s, 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

Inception Currency Denomination Bloomberg

January 1, 1999 GBP ALLX <LC58> <GO>

UK Gov-Related

UK Corporate

UK Securitized

UK Non-Gilts UK Gilts

α β

Sterling Aggregate

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Index Family Structure

Source: Barclays Capital

Asia-Pacific Aggregate Bond Index Sector by Quality Composition

Sector AAA AA A BAA Total

Treasury 2.1% 75.2% 5.7% 0.0% 83.0%

Gov-Related 2.3% 9.0% 0.1% 0.1% 11.6%

Corporate 0.0% 3.6% 1.5% 0.2% 5.4%

ABS 0.0% 0.0% 0.0% 0.0% 0.0%

Covered 0.0% 0.0% 0.0% 0.0% 0.0%

Total 4.4% 87.7% 7.4% 0.4% 100%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

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.

• 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.

Key Rules • JPY 35bn (or local equivalent) minimum amount

outstanding • Rated IG using middle rating of Moody’s, 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 Currency Denomination Bloomberg

July 1, 2000 Multi ALLX <LAPC> <GO>

Japanese Agg

JPY Treasury

JPY Gov-Related

JPY Corporate

JPY Securitized

Australian Agg

Other Currencies

HKD, KRW, MYR, NZD, SGD, THB,

TWD

Non-Japan

α β

Asia-Pac Aggregate

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Japanese Aggregate Bond Index Sector by Quality Composition

Sector AAA AA A BAA Total

Treasury 0.0% 83.8% 0.0% 0.0% 83.8%

Gov-Related 0.2% 10.2% 0.1% 0.0% 10.5%

Corporate 0.0% 3.8% 1.6% 0.3% 5.7%

ABS 0.0% 0.0% 0.0% 0.0% 0.1%

Total 0.2% 97.8% 1.7% 0.3% 100%

Source: Barclays Capital Note Effective Date: Oct. 31, 2009

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.

• 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.

Key Rules • JPY 35bn minimum amount outstanding

• Rated IG using middle rating of Moody’s, 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

Inception Currency Denomination Bloomberg

July 1, 2000 JPY ALLX <LG24> <GO>

Index Family Structure

Source: Barclays Capital

JPY Gov-Related

JPY Corporate

JGBs Other Sectors

JPY Securitized

α β

Japanese Aggregate

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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.

• 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.

• 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.

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 Moody’s rating

• At least 1 year until final maturity • Fixed-rate or zero notional coupon • Bonds must be capital-indexed and linked to a commonly

used domestic inflation index. In the Eurozone, domestic inflation indices and the EMU HICP are eligible

Inception Currency Denomination Bloomberg

December 31, 1996 Multi <BCIX> <GO>

Country Breakdown

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

Index Family Structure

Source: Barclays Capital

Japan5.4%

U.K.22.9%

Australia0.4%

U.S.37.8%

Sweden2.5%

Canada2.8%

Euro-zone28.2%

α β

World Government Inflation-Linked Index

U.K.

U.S.

Japan

Sweden

Canada

Australia

Eurozone

France

Italy

Germany

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Index Family Structure

Source: Barclays Capital Note: *As of January 1, 2009

Global Treasury Bond Index Overview

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

• 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 Moody’s, 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

Inception Currency Denomination Bloomberg

January 1, 1987 Multi ALLX <LGTR> <GO>

Country Breakdown

Asia Pacific

Americas

EMEA

Country

Country Intermediate Long Total

France 5.0% 1.6% 6.6%

Germany 5.7% 1.4% 7.1%

Italy 5.5% 2.6% 8.1%

Japan 23.5% 6.3% 29.8%

United Kingdom 3.5% 3.2% 6.7%

United States 17.8% 3.1% 20.9%

Total 77.6% 22.4% 100% Source: Barclays Capital

Other 16.6% 4.2% 20.8%

CAD CLP MXN USD

CHF* CZK DKK

ZAR SKK PLN NOK GBP

AUD

NZD

MYR KRW JPY HKD

SGD TWD THB

EUR HUF

α β

Global Treasury Currencies

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Index Family Structure

Source: Barclays Capital

High Yield Bond Indices Global High Yield Index: Sector by Quality

Sector BA B CAA CA-NR Total

Govt-Related 11.7% 5.2% 0.1% 0.6% 17.6%

Financial 5.0% 3.1% 1.0% 3.2% 12.3%

Industrial 25.7% 20.6% 14.8% 1.8% 62.9%

Utility 2.6% 2.5% 0.8% 0.1% 6.0%

CMBS 0.7% 0.3% 0.1% 0.1% 1.2%

Total 45.7% 31.7% 16.8% 5.8% 100%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

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.

• 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

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 Moody’s, 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 Currency Denomination Bloomberg

January 1, 1990 Multi ALLX <LG30> <GO>

Pan-European High-Yield

U.S. Corporate High-Yield

U.S. Emerging Markets High-Yield

U.S. CMBS High-Yield

Pan-European Emerging Markets

High-Yield

α β

Global High Yield

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Emerging Markets Bond Indices α β

EM Local Currency Index Family

Source: Barclays Capital

Overview

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

• 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.

• The EM Global Inflation Linked (EMGILB) Index comprising inflation-linked treasury debt from nine countries.

• 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.

EM External Currency Index Family

Source: Barclays Capital

Asia

LATAM

EMEA

Other EM-Related Benchmarks • EM Local Currency Govt Universal (incl China & India) • EM Government Universal GDP Weighted Index (external

currency + local currency govt debt)

• Local currency EM swap indices (CCEMEA, Asia)

• Gulf Cooperation Council (GCC) USD Credit • EM Asia USD Credit • EM Tradable USD Sovereign Bond Index

• EM Index debt also crosses over into broader indices such as the Aggregate, Universal, & Global HY indices

Source: Barclays Capital

ARS BRL CLP

COL MXN PEN

CZK EGP ILS

PLN HUF HRK

RUB TRY ZAR

IND KRW

MYR PHP

THB KRW

PLN TRY ZAR

MXN COL

ARS BRL CLP

Corporate

Quasi-Sov

Sovereign

Corporate

Quasi-Sov

Sovereign

USD EUR GBP

Pan Euro EM Index US EM Index

Cent. Amer

GCC USD

Asia USD

EM Govt Inflation Linked

EM Local Currency Govt Universal

Global EM Index EM Credit

Tradable USD Sov

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Index Family Structure

Source: Barclays Capital

Universal Bond Indices US Universal: Sector by Quality Composition Sector AAA AA A BAA HY Total

Treasury 23.3% 0.0% 0.0% 0.0% 0.0% 23.3%

Gov-Related 11.7% 1.0% 0.9% 1.4% 1.1% 16.1%

Corporate 0.2% 3.1% 8.7% 7.3% 4.7% 23.9%

MBS 33.1% 0.0% 0.0% 0.0% 0.0% 33.1%

ABS 0.3% 0.0% 0.0% 0.0% 0.0% 0.3%

CMBS 2.6% 0.1% 0.3% 0.1% 0.0% 3.1%

Covered 0.2% 0.0% 0.0% 0.0% 0.0% 0.2%

Total 71.3% 4.3% 9.8% 8.8% 5.8% 100% Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

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.

• 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.

Pan Euro Universal: Sector by Quality Composition

Sector AAA AA A BAA HY Total

Treasury 36.5% 15.1% 3.6% 0.3% 0.0% 55.4%

Gov-Related 9.1% 2.9% 1.5% 0.7% 0.2% 14.3%

Corporate 0.4% 4.4% 8.8% 4.2% 1.3% 19.2%

ABS 0.3% 0.0% 0.1% 0.1% 0.0% 0.5%

CMBS 0.1% 0.0% 0.0% 0.0% 0.0% 0.1%

Covered 9.8% 0.6% 0.1% 0.0% 0.0% 10.4%

Total 56.2% 23.0% 14.1% 5.2% 1.5% 100%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

US Aggregate

US High Yield

US 144A

US EM

US Eurodollar

US CMBS Non-ERISA

PE Aggregate

PE High Yield

PE EMG

World Govt I/L

EM Govt I/L

Global Agg

Global HY

α β

US Universal Pan Euro Universal Universal Govt I/L

Multiverse

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Euro & Sterling ABS Indices Euro ABS: Collateral by Quality Composition Collateral AAA AA A BAA Total

Whole Business 0.0% 0.0% 6.3% 2.3% 8.6%

RMBS 3.9% 0.0% 0.0% 0.0% 3.9%

Other ABS 79.3% 1.7% 6.5% 0.0% 87.5%

Total 83.2% 1.7% 12.9% 2.3% 100%

Whole Business 0.0% 0.0% 0.0% 0.2% 0.2%

RMBS 61.5% 6.3% 2.0% 1.0% 70.7%

Other ABS 16.3% 1.5% 1.5% 0.4% 19.8%

CMBS 6.1% 1.8% 1.0% 0.4% 9.3%

Total 83.9% 9.6% 4.5% 2.0% 100% Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

Overview

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

• 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).

EUR

GBP

• Pan Euro ABS Fixed Rate • Pan Euro ABS Floating Rate

• Euro ABS Fixed Rate • Euro ABS Floating Rate

• Sterling ABS Fixed Rate • Sterling ABS Floating Rate

Coverage by Currency

Pan-Euro

Fixe

d Ra

te

Floa

ting

Rat

e

Sterling ABS: Collateral by Quality Composition Collateral AAA AA A BAA Total

Whole Business 8.0% 11.3% 20.9% 16.6% 56.9%

RMBS 3.0% 0.0% 0.0% 0.0% 3.0%

Other ABS 6.0% 0.0% 0.5% 3.0% 9.5%

Total 31.3% 19.2% 27.8% 21.6% 100%

Whole Business 0.0% 0.0% 0.8% 0.0% 0.8%

RMBS 65.8% 3.1% 1.2% 1.1% 71.2%

Other ABS 1.4% 0.0% 0.8% 0.0% 2.2%

CMBS 11.8% 4.3% 4.0% 3.5% 23.5%

Total 81.7% 7.4% 6.2% 4.8% 100% Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

CMBS 14.3% 7.9% 6.3% 2.0% 30.5% Fixe

d Ra

te

Floa

ting

Rat

e

α β

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Floating-Rate (FRN) Bond Indices US FRN: Sector by Quality Composition

Sector AAA AA A BAA Total

Financial 2.6% 36.5% 31.9% 2.2% 73.1%

Agency 11.6% 0.8% 0.6% 0.6% 13.6%

Industrial 0.0% 1.7% 5.2% 2.2% 9.1%

Supranational 3.0% 0.0% 0.0% 0.0% 3.0%

Utility 0.0% 0.0% 0.5% 0.2% 0.7%

Local Auth 0.0% 0.5% 0.0% 0.0% 0.5%

Total 17.1% 39.6% 38.2% 5.2% 100%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

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.

• 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.

EUR

GBP

USD • US FRN Index • US High Yield FRN Index • US ABS Floating Rate Index • Euro FRN Index • Euro ABS Floating Rate Index • Sterling FRN Index • Sterling ABS Floating Rate Index

Sector Coverage by Currency

Euro FRN: Sector by Quality Composition Sector AAA AA A BAA Total

Financial 0.7% 32.1% 51.6% 6.2% 90.6%

Industrial 0.0% 0.0% 2.5% 2.1% 4.6%

Agency 1.6% 0.7% 0.4% 0.0% 2.7%

Supranational 1.0% 0.0% 0.0% 0.0% 1.0%

Utility 0.0% 0.0% 0.5% 0.3% 0.8%

Sovereign 0.0% 0.0% 0.0% 0.1% 0.1%

Local Auth 0.1% 0.0% 0.0% 0.0% 0.1%

Total 3.4% 32.7% 55.0% 8.8% 100% Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

α β

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State Breakdown

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

Municipal Bond Index Sector by Quality Composition Sector AAA AA A BAA Total

Local GO 2.5% 7.1% 0.7% 0.2% 10.4%

State GO 2.5% 6.0% 0.8% 4.7% 14.0%

Insured 11.6% 0.0% 0.0% 0.0% 11.6%

Prerefunded 10.6% 0.0% 0.0% 0.0% 10.6%

Revenue 3.5% 23.0% 19.1% 7.7% 53.4%

Total 30.7% 36.1% 20.6% 12.6% 100% Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

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 gen-eral obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds.

• In January 1996, Barclays Capital also began publishing a non-investment grade municipal bond index and “enhanced” state-specific indices for Ari-zona, 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.

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 Moody’s, S&P, and Fitch • At least 1 year until final maturity • Fixed-rate coupon • Denominated in USD

Inception Currency Denomination Bloomberg

January 31, 1980 USD ALLX <LMBI> <GO>

Florida5.4%

Massachusetts4.4%

California16.8%

Others50.8%

New York14.9%

Texas7.7%

α β

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Index Family Structure

U.S. Credit Bond Index

Sector by Quality Composition

Sector AAA AA A BAA Total

Financial 0.0% 7.8% 16.7% 4.4% 28.9%

Utility 0.0% 0.2% 3.5% 5.7% 9.4%

Industrial 0.5% 4.7% 17.7% 20.4% 43.3%

Govt-Related 8.5% 3.1% 2.8% 4.0% 18.4%

Total 9.0% 15.8% 40.7% 34.5% 100%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

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.

• 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 index’s 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.

Key Rules • $250mn minimum amount outstanding • Rated IG by middle rating of Moody’s, S&P, and Fitch • At least 1 year until final maturity

• SEC-registered or Rule 144A with registration rights

• Fixed-rate and step-up coupons • Denominated in USD

• Fully taxable

Inception Currency Denomination Bloomberg

January 1, 1973 USD ALLX <LUCR> <GO> Source: Barclays Capital

α β

U.S. Government/Credit

U.S. Credit U.S. Government

U.S. Treasury

U.S. Agency

U.S. Corporate

Non U.S. Govt-Related

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MBS Generic Aggregate Decomposition

Agency (GNMA, FNMA, FHLMC)

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).

• The MBS Index excludes non-agency (whole loan) and jumbo securities, CMOs, buydowns, graduated-equity mortgages, interest-only (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.

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

Inception Currency Denomination Bloomberg

January 1, 1976 USD ALLX <LUMS> <GO>

Sector Breakdown

Origination Year based on WALA

Coupon (half percent increments for fixed-rate, quarter percent increments for ARMs)

Program (30-year, 15-year, 20-year, 3/1, 5/1, 7/1, 10/1)

Sector FHLMC FNMA GNMA Total

15 Year 4.9% 6.8% 0.3% 12.0%

20 Year 1.2% 1.5% 0.0% 2.7%

30 Year 26.1% 39.6% 14.7% 80.5%

Hybrid ARM 2.4% 2.4% 0.1% 4.9%

Total 34.6% 50.2% 15.1% 100%

Source: Barclays Capital Note: Effective Date: Oct. 31, 2009

Source: Barclays Capital

α β

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

Hybrid ARM Aggregates are then further broken down into subaggregates based on floating-rate coupon reference rate, floating-rate coupon cap structure and existence of an IO feature.

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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 liability-driven investment (LDI) strategies

• Our approach has been to offer a diverse set of “ingredients” that investors can select from to achieve their desired benchmark

• Ease of implementation:

Managing normally against a benchmark that has duration “close enough” to liabilities

• Blend of standard index and STRIPS can create benchmark with appro-priate duration and cash flow profile

• Does not employ deriva-tives, which some plans have yet to be comfort-able with

Zero Coupon Nominal Swaps

Zero Coupon Inflation-Linked Swaps

Par Swaps • 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

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

Highlighted Swap Index Families Traditional Approach: Aggregate, Long Government/Credit, STRIPS Indices

• Potential term structure differences

• For frozen funds, bench-mark turnover holds duration constant, while liabilities decrease in duration over time

• Cash intensive • Low yield of Treasury

STRIPS • STRIPS tenors limited to

longest maturities of out-standing coupon bonds

• Limited liquidity

Pros Cons

Source: Barclays Capital Source: Barclays Capital

α β

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Capping Methodology

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.

1. Set issuer concentration limit

2. Calculate MV in excess of the issuer cap

3. Allocate excess MV to other issuers in the index below the cap on a pro rata basis

4a. Index Wide 4b. Sector Neutral

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

Rank Issuer MV ($bn) MV% MV ($bn) MV%

1 Ford (F) 23.1 3.34% 13.8 2.00%

2 Sprint (S) 16.4 2.37% 13.8 2.00%

3 GMAC (GMAC) 15.4 2.23% 13.8 2.00%

4 Columbia/HCA (HCA) 14.9 2.15% 13.8 2.00%

5 Intel (INTEL) 12.6 1.83% 12.9 1.87%

6 AIG (AIG) 11.0 1.59% 11.2 1.62%

7 TXU (TXU) 9.4 1.35% 9.6 1.38%

8 First Data (FDC) 8.7 1.25% 8.9 1.28%

9 Chesapeake (CHK) 7.8 1.13% 8.0 1.15%

10 CIT Group (CIT) 7.4 1.08% 7.6 1.10%

Source: Barclays Capital Indices Note: Effective Date: October 31, 2009

U.S. HY Uncapped

Highlighted Issuer Capped Benchmarks

• U.S. HY- 1%, 2%, 3%, 4% capped versions

• 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

• Global EM Local Currency 10% country capped

or

Source: Barclays Capital Source: Barclays Capital

α β

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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.

• 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.

US Aggregate

(MV%) US Agg Float Adjusted

(MV%)

Treasury 26.41 28.13 Government-Related 13.47 13.42 Agency 10.44 10.19 Local Authority 0.80 0.86 Sovereign 1.10 1.17

Supranational 1.13 1.20

Corporate 18.84 20.07

Securitized 41.28 38.38

MBS Pass-through 37.59 34.44

MBS Fixed Rate 35.75 32.49

Hybrid ARMs 1.83 1.95

ABS 0.38 0.41 CMBS 3.32 3.53 Total 100 100

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

U.S. Aggregate Comparison

Source: Barclays Capital Indices Note: Effective Date: October 31, 2009

Global Aggregate Comparison

Source: Barclays Capital Indices Note; Effective Date: October 31, 2009

Global Agg

(MV%)

Global Agg Float

Adjusted (MV%) Difference

Treasury 49.22 49.36 0.14 Government-Related 15.18 15.53 0.35 Agency 9.57 9.66 0.09 Local Authority 3.05 3.19 0.14 Sovereign 1.06 1.11 0.05

Supranational 1.50 1.57 0.07

Corporate 16.36 17.12 0.76 Securitized 19.23 17.99 -1.25 MBS Pass-through 13.89 12.39 -1.50

ABS 0.31 0.33 0.01

CMBS 0.97 1.01 0.05

Covered 4.06 4.25 0.19 Total 100 100 0

Float-adjusted Index Family

Source: Barclays Capital

U.S. Govt/Credit

Pan Euro Agg U.S. Aggregate Asia Pac Agg

α β

Global Aggregate

U.S. MBS

Sterling Agg Japanese Agg

Page 38: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

BENCHMARK INDICES 36

Index Family Calculation Approach

Source: Barclays Capital

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.

• 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.

Construct GDP Weighted Benchmark Indices using calcu-lated GDP country bloc or GDP country weights and rebal-

ance monthly back to target GDP weight

Assign every index-eligible bond to a country bloc based on its underlying country of risk

GDP weights by Country Bloc only

Market Value weighting all countries within bloc

GDP Weighted Country Blocs

Source: Barclays Capital

α β

Asia EM

Australia/NZ

Latin America EM

US

Canada

EMEA EM

Other Europe

UK

Eurozone

JapanAsia EM

Australia/NZ

Latin America EM

US

Canada

EMEA EM

Other Europe

UK

Eurozone

Japan

Highlighted GDP Weighted Benchmarks 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

GDP Weights by Bloc & Country

2nd layer of GDP weights by coun-try within each Bloc; market cap

weights used within each country

Page 39: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 37

Barclays Capital Investable Indices

Page 40: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 38

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

Clear goals The index will track a strategy

that is rules based, with no discretion or interference

Investable indices are the new market standard for accessing markets and strategies

Liquidity

Tradable indices reference liquid instruments with

transparent pricing

Investable Indices

Page 41: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 39

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

TRANSPARENCY

• Daily publication of index levels on Barclays Capital website and Bloomberg

• 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

ACCESSIBILITY

• Coverage of major asset classes

• Simple investment formats in difficult-to-access markets: TRS, notes, options

• Growing number of ETFs and ETNs referencing our index products

Research

Separate

Platform

Transparency

Robustness

Accessibility

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

Page 42: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 40

Ease of Access to the Platform Clear investment goals and rationale

established for each index

Fact sheets with rationale, methodology and testing results

Performance Analysis

Daily external published index values on Bloomberg and Reuters

www.barcap.com/indices

Barclays Capital Index Website

BXIICYXI Index <GO>

Source: Bloomberg

Page 43: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 41

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

Page 44: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 42

Live returns to multi-strategy allocations

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)

TSP: Strategy Indices

N UG G E T TA G : u s er N am e =n u ll&p lo tN a m e = nu ll90

100

110

120

130

140

150

160

170

180

190

200

210

220

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Key Axis Name Last Minimum Maximum Mean SD SD ChangeLeft ICI USD Index USD Excess Return 163.968 95.331 06/22/2000 200.492 07/24/2007 149.294 27.269 0.602

Left RIVA Index USD Excess Return 110.416 99.918 12/20/2001 110.416 08/10/2010 105.643 3.243 0.082

Left GEMS Index (USD) USD Excess Return 213.264 100.000 07/16/2001 216.635 08/04/2008 164.261 33.816 0.792

Left US 10Yr Treasury Futures Index USD Excess Retur 181.923 97.505 04/11/1997 181.923 08/10/2010 129.767 21.594 0.563

Left US 2yr Note future USD Excess Return 124.996 99.151 04/14/1997 125.049 08/06/2010 110.145 7.215 0.130

Time Series Statistics

Time Series Plots

Page 45: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 43

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

Page 46: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 44

Featured index families by asset class Index

Replication

Credit Beta (Swaps)

EM Tradable Bond

LBAR/SBAR Hedge fund

INSPIRE

BLSC AIMS

Inflation Swaps

Commodities

NEMO

GEMS

β

α

Q Series

Navigator

Equity EM Series

ASTRO

Exceed

CRYSTAL

VOX / BPX

Bond Futures

IRFix Swaps

TrendStar+

PRISM

Targeted Exposure

EM Swaps

SGD Exceed

The following sections provide one-page overviews of each of these featured indices. For a comprehensive list of investable index families see page 116.

REMIX (MBS)

RBIs® Bond Indices

Equity Rates Inflation Credit FX EM

KRW Term Premium

Chips Family

Trade-weighted FX

FX Value

Adaptive Trend

Intelligent Carry (ICI)

CPCI

FX Switch

Borrowing Units

FX Volatility

Liquid Bas-ket

Pure Beta S2

BGCI (Carbon)

Momentum Alpha

ComBATS

Multi -Strategy

Voyager

Backwarda-tion

TOM™

Equity EM Series

BCI

Page 47: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 45

Categorizing strategies Most strategies can be categorized into one or more common themes or styles. Such categorization is typically a quali-tative exercise and definitions of styles may differ by asset class. However, simple categorization can help the under-standing of a strategy and indicate common characteristics.

Macro-thematic

Market technicals

Value

Volatility

Market timing

Market neutral

Momentum

Carry

Trend

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

Page 48: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 46

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.

Portfolio allocation approach

Source: Barclays Capital

Set of selected investable indices

Custom portfolio of indices with optimized risk-return characteristics

Systematic allocation strategy Signal-based allocation tilts

Qualitative and quantitative analysis Investor preference

Universe of Barclays Capital Investable Indices Equal Volatility Weights

Source: Barclays Capital

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2002 2003 2004 2005 2006 2007 2008 2009 2010

ComBATS 6 GEMS FX Switch PRISM Q-BES/Q-GSP

An illustrative example using five selected strategies

Source: Barclays Capital

90

115

140

165

190

215

240

265

290

2002 2003 2004 2005 2006 2007 2008 2009 2010

ComBATS 6 GEMS FX Switch

PRISM Q-BES/Q-GSP Equal-Vol Portfolio

Page 49: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES 47

Overview of Flagship Investable Indices

Page 50: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

48

Rates: Overview and Classification

β

α

Index Description

Macro-th

ematic

Tracking rolling futures invest-ments in various markets

Market t

echnica

ls Value

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Tracking interest-rate swaps on EUR and USD fixings

Tracking the yields on the US Treasury yield curve

Tracking volatility implied from swaptions

Exceed

CRYSTAL

VOX / BPX

Bond Futures

IRFix Swaps

TrendStar+

PRISM

Targeted Exposure

Trading the EUR-USD front-end Libor spreads

Attempting to extract roll-down from front-end futures

Steepener / flattener position-ing in 2Y/10Y swaps

Tren

d Risk-budgeted portfolio of rates alpha strategies

Page 51: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

49

Rates: Bond Futures Indices Index performance

Source: Barclays Capital

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 4.21% 7.76%

Annual excess return volatility 6.41% 4.16%

Sharpe ratio 0.7 1.9

Best monthly return 9.09% 2.34%

Worst monthly return -5.80% -1.05%

Worst drawdown 13.98% 6.22%

Source: Barclays Capital

Bond Futures Family Coverage US Euro Gilt JGB

Exchange CBOT EUREX LIFFE TSE

Futures 2y, 5y, 10y notes and Long bond

Bund, Bobl, Schatz Long Gilt 10y

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Access Beta US 10 YR Treasury Futures ER BXIIUS10 Jan 2009

α β

• 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.

90

110

130

150

170

190

210

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

US 10YR Index

Page 52: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

50

Rates: EURFix and USDFix Swap Indices Index performance

Source: Barclays Capital

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 2.29% 3.39%

Annual excess return volatility 2.91% 2.85%

Sharpe ratio 0.8 1.2

Best monthly return 2.80% 1.84%

Worst monthly return -1.57% -0.91%

Worst drawdown 9.97% 3.36%

Source: Barclays Capital

Index Calculation Approach

Source: Barclays Capital

Swap fixing rates

Swap Curve Con-

struction

Pricing of underly-

ing swaps

Index Calcula-

tion

Overview Style Featured Index Bloomberg Live Date

Access Beta EURFix Swap 5 YR ER BSWRFE05 Mar 2010

α β

• The EURFix and USDFix Swap Index Family replicates the per-formance 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 coupon-paying 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.

90

95

100

105

110

115

120

125

130

135

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

EURFix 5Y ER Index EURFix 2Y ER Index

Page 53: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

51

Rates: Tracking the slope of the US Treasury Yield Curve Index performance

Source: Bloomberg, Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Avg. annual change in level 22.3 -5.7

Annual Std. Dev. of level changes 61.0 70.5

Best monthly change 59.0 14.9

Worst monthly change -48.0 -16.1

Worst drawdown change 183.1 86.8

Source: Barclays Capital

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

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Access Beta US Treasury 2Y/10Y Yield Curve BXIIUSTP Dec 2009

α β

-100

-50

0

50

100

150

200

250

300

350

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%UST 2Y/10Y Yield Curve Index 10Y yield minus 2Y yield (RHS)

-1%

0%

1%

2%

3%

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010

Recession Peak Yield Curve Slope

Page 54: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

52

Rates: Tracking swaption volatility markets with BPX Index performance

Source: Barclays Capital

• The BPX indices track the performance of exposure to implied basis-point 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 10.09% 16.31%

Annual excess return volatility 17.48% 16.19%

Sharpe ratio 0.6 1.0

Best monthly return 13.10% 12.19%

Worst monthly return -15.02% -3.11%

Worst drawdown 33.48% 15.76%

Source: Barclays Capital

Correlation of 10y10y BPX return vs. Implied BP Vol

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alternative Beta EUR BPX 10Y/10Y Interest Rate Volatility ER

BXIIE00B Jun 2008

α β

90

110

130

150

170

190

210

2004 2005 2006 2007 2008 2009 2010

EUR BPX 10Y/10Y ER Index

60%

80%

100%

2005 2006 2007 2008 2009 201090

110

130

150

170

190

210

230BPX Index (RHS)EUR 10y10y Implied BP Vol (scale not shown)Rolling 26wk Correlation of changes (LHS)

Page 55: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

53

Rates: Trading the EURO-USD spread with CRYSTAL Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 4.96% 2.12%

Annual excess return volatility 3.13% 1.69%

Sharpe ratio 1.6 1.3

Best monthly return 4.47% 0.87%

Worst monthly return -2.88% -0.61%

Worst drawdown 6.32% 1.43%

Source: Barclays Capital

Consistent and Divergent policy modes

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha CRYSTAL ER BXIICYXI Sep 2009

α β

90

100

110

120

130

140

150

160

170

180

190

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

CRYSTAL ER Index

0%

1%

2%

3%

4%

5%

6%

7%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Fed Funds Target Rate ECB Main Refinancing Rate

(2) Divergent Policy

(1) ConsistentPolicy

Page 56: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

54

Rates: Exploiting term premium with Exceed Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 2.32% 1.08%

Annual excess return volatility 1.77% 1.32%

Sharpe ratio 1.3 0.8

Best monthly return 1.49% 0.86%

Worst monthly return -1.30% -0.44%

Worst drawdown 2.91% 1.19%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha Atlantic Exceed ER BXIIEXMA Jan 2008

α β

Historical USD Strategy Positions

Source: Barclays Capital

90

95

100

105

110

115

120

125

130

135

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Atlantic Exceed ER Index

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010-2

-1

0

1

23M USD LIBOR Allocation (RHS)

Page 57: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

INVESTABLE INDICES RATES

55

Rates: Global Target Exceed Index performance

Source: Barclays Capital

• 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”.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 3.95% 4.86%

Annual excess return volatility 2.59% 1.84%

Sharpe ratio 1.5 2.6

Best monthly return 2.52% 1.37%

Worst monthly return -1.64% -0.56%

Worst drawdown 3.24% 2.23%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha Global Target Exceed ER BXIIEXGT May 2009

α β

Forward rates tend to overestimate actual short rates

Source: Barclays Capital

90

100

110

120

130

140

150

160

170

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Global Target Exceed ER Index

0%

1%

2%

3%

4%

5%

6%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

3m Euribor Forwards 3m Euribor

Page 58: Barclays Capital Indices

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INVESTABLE INDICES RATES

56

Rates: Dynamic swap curve positioning -TrendStar+ Index performance

Source: Barclays Capital

• Barclays Capital TrendStar+ is a curve strategy that attempts to earn any carry and rolldown available from a duration-neutral 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 6.76% 6.92%

Annual excess return volatility 6.08% 4.44%

Sharpe ratio 1.1 1.6

Best monthly return 7.94% 1.88%

Worst monthly return -6.53% -2.69%

Worst drawdown 10.16% 5.41%

Source: Barclays Capital

Historical strategy positions - steepener or flattener

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha TrendStar+ USD ER BXIITSTP Feb 2009

α β

90

110

130

150

170

190

210

230

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

TrendStar+ USD ER Index

-1%

0%

1%

2%

3%

4%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Steepener Swap Curve 2s10s Slope

Page 59: Barclays Capital Indices

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INVESTABLE INDICES RATES

57

Rates: PRISM - combining rates alpha strategies Index performance

Source: Barclays Capital

• Barclays Capital PRISM is a strategy combination framework that assigns monthly weights based on an equal volatility contribution. This approach assigns lower weightings to high-vol 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 8.78% 5.17%

Annual excess return volatility 4.26% 4.00%

Sharpe ratio 2.1 1.3

Best monthly return 5.65% 2.24%

Worst monthly return -2.10% -1.12%

Worst drawdown 4.51% 4.51%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha PRISM ER BXIIPMER Sep 2009

α β

90

110

130

150

170

190

210

230

250

270

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

PRISM ER Index

Page 60: Barclays Capital Indices

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INVESTABLE INDICES INFLATION

58

Inflation: Overview and Classification

β

α

Index Description

Macro-th

ematic

Access to inflation swaps in various markets

Market t

echnica

ls Value

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Synthetic replication of infla-tion in Canada and Australia

Long/short strategy in TIPS based on anticipated flows

INSPIRE

AIMS

Inflation Swaps

Tren

d

Page 61: Barclays Capital Indices

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INVESTABLE INDICES INFLATION

59

Inflation: Inflation Swaps Index Family Index performance

Source: Bloomberg, Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return -1.37% -4.24%

Annual excess return volatility 6.05% 6.13%

Sharpe ratio -0.2 -0.7

Best monthly return 3.37% 3.06%

Worst monthly return -5.83% -2.73%

Worst drawdown 14.21% 8.94%

Source: Barclays Capital

Real rate Swap structure

Source: Barclays Capital

ZC interest rate swap

ZC inflation swap (IS)

ZC Real rate swap

+

=

Client Barclays Capital

Barclays Capital

Actual Inflation

Fixed Breakeven

Compounded Libor

Fixed Nominal Rate

Overview Style Featured Index Bloomberg Live Date

Access Beta Inflation Swap Zero Coupon 10 YR USD ER

BSWIZU10 Nov 2007

α β

80

85

90

95

100

105

2006 2007 2008 2009 2010-20

0

20

40

60

80

100

120

140US 10Y Inflation Swap Index 10Y BEI Swap Rate (RHS)

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Inflation: INSPIRE – Replicating expected inflation Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return -0.74% -4.09%

Annual excess return volatility 4.91% 4.98%

Sharpe ratio -0.2 -0.8

Best monthly return 3.61% 2.25%

Worst monthly return -6.36% -2.35%

Worst drawdown 15.06% 7.95%

Source: Barclays Capital

INSPIRE optimization framework

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Beta Replication AUD INSPIRE ER BXIIAII1 Feb 2009

α β

Optimisedweights

Inflationmeasures and

breakevens

Find optimal linear combination of

replicate inflation measure in Australia

Core Countries

US, UK, EUR

AUD IM

BE

INSPIREoptimisation

model

Optimisedweights

Inflationmeasures and

breakevens

ω

Find optimal linear combination ofcore countries' breakevens that

replicate inflation measure in Australia

Core Countries

US, UK, EUR

AUD IM

BE

INSPIREoptimisation

modelAUD INSPIRE Index

90

92

94

96

98

100

102

104

106

108

2004 2005 2006 2007 2008 2009 20100

1

2

3

4

5INSPIRE AUD ER IndexAUD Govt. Inflation-Linked >10Y Maturity BEI (RHS)

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Inflation: AIMS – Enhancing the performance of TIPS Index performance

Source: Barclays Capital

• 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 Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 5.00% 2.04%

Annual excess return volatility 4.97% 4.39%

Sharpe ratio 1.0 0.5

Best monthly return 5.84% 2.68%

Worst monthly return -3.47% -1.75%

Worst drawdown 8.71% 5.38%

Source: Barclays Capital

Swap curve steep when inflation expected to increase

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Enhanced Beta Algorithmic Inflation Momentum Switching (AIMS) USD ER

BXIIAIMS Mar 2008

α β

90

110

130

150

170

190

210

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

AIMS USD ER Index

-1%

0%

1%

2%

3%

2002 2003 2004 2005 2006 2007 2008 2009 2010

LT B/E inflation significantly above ST B/E Swap Curve 2s10s Slope

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INVESTABLE INDICES CREDIT

62

Credit: Overview and Classification

β

α

Index Description

Macro-th

ematic

Access to European and US benchmark portfolio CDS

Market t

echnica

ls Value

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Capturing trends in European iTraxx CDS spreads Steepener or flattener posi-tions in EUR iTraxx Crossover

Credit Beta (Swaps)

BLSC

NEMO

Tren

d

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Credit: Accessing liquid credit market beta Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual total return 2.51% 1.36%

Annual excess return 0.12% 1.17%

Sharpe ratio 0.1 0.6

Worst monthly return -2.04% -1.11%

Worst drawdown 7.18% 2.12%

Source: Barclays Capital

Annual excess return volatility 2.40% 1.95%

Best monthly return 2.51% 0.95%

5y spreads on iTraxx and CDX portfolio default swaps

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Access Beta Long Credit Investment Grade CDX IG 5 YR USD TR

BCRIU5IL Jan 2008

α β

90

95

100

105

110

115

120

125

2003 2004 2005 2006 2007 2008 2009 2010

CDX IG 5Y TR Index

0

50

100

150

200

250

300

2004 2005 2006 2007 2008 2009 2010

Series Roll iTraxx Europe 5Y on-the-run spread

CDX IG 5Y on-the-run spread

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Credit: Spread trend-following with NEMO

Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual total return 5.41% -0.47%

Annual excess return 3.28% -0.90%

Sharpe ratio 1.2 -0.5

Worst monthly return -1.59% -0.99%

Worst drawdown 3.90% 3.90%

Source: Barclays Capital

Annual excess return volatility 2.76% 1.92%

Best monthly return 2.58% 0.54%

NEMO signal process using trend and volume data

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alternative Beta NEMO EUR TR BXIINEMO Dec 2009

α β

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)

100

110

120

130

140

150

160

170

180

190

200

iTraxx 5y Intraday QuotesMedium term indicator Intraday Indicator

Long Short Long Short

Long / Short Protection Signal

90

95

100

105

110

115

120

125

130

2007 2008 2009 2010

NEMO EUR TR Index iTRAXX EUR 5Y TR

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Credit: Trading the curve through the cycle with BLSC Index performance

Source: Barclays Capital

• 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.

BLSC positions through the credit cycle

Source: Barclays Capital

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 0.08% -2.30%

Annual excess return volatility 2.90% 2.46%

Sharpe ratio 0.0 -0.9

Best monthly return 2.97% 1.24%

Worst monthly return -3.71% -1.19%

Worst drawdown 9.41% 3.44%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha BLSC EUR ER BCRIELSE Jan 2008

α β

94

96

98

100

102

104

106

108

110

112

2004 2005 2006 2007 2008 2009 2010

BLSC EUR ER Index

-250

-200

-150

-100

-50

0

50

100

150

2004 2005 2006 2007 2008 2009 2010

Allocation iTraxx Xover 5s10s

Steepener

Flattener

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FX: Overview and Classification

Tren

d

β

α

Index Description

Macro-th

ematic

Long or short USD or JPY ver-sus trade-weighted FX basket

Market t

echnica

ls Value

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Tracking currencies of com-modity-producing countries

Long high-yielding versus low-yielding G10 currencies

Identifying over, and underval-ued currencies

Trade-weighted FX

FX Value

Adaptive Trend

Intelligent Carry (ICI)

CPCI

FX Switch

Identifying currency trends and reversion

Dynamic portfolio of Carry, Trend and Value strategies

Aiming to build a 0% interest rate currency Borrowing

Units

Identifying over- and under-priced currency volatilities FX Volatility

Tracking most traded curren-cies against US Dollars Liquid Bas-

ket

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FX: Liquid Basket Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return -2.98% -3.10%

Annual excess return volatility 8.49% 10.47%

Sharpe ratio -0.4 -0.3

Best monthly return 6.09% 4.57%

Worst monthly return -6.49% -4.89%

Worst drawdown 42.95% 15.47%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Beta Liquid Basket USD ER BXIILIEU Oct 2010

α β

60

70

80

90

100

110

120

130

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Liquid Basket USD ER Index

Liquid Basket Weights (Oct 2010)

Source: Barclays Capital

EUR, -46.00%GBP, -15.18%

AUD, -8.94%

JPY, -22.35%

CHF, -7.53%

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FX: Borrowing Units Index performance

Source: Barclays Capital

• 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).

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return -1.55% -0.54%

Annual excess return volatility 4.63% 0.38%

Sharpe ratio -0.3 -1.4

Best monthly return 4.68% 0.09%

Worst monthly return -5.57% -0.26%

Worst drawdown 31.49% 0.75%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alternative Beta Global Borrowing Unit ER BXIIGBU Oct 2006

α β

80

85

90

95

100

105

110

115

120

125

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Global Borrowing Unit ER Index

Global Borrowing Unit Weights (January 2011)

Source: Barclays Capital

0.987%

-1.358%-0.421%

0.904%

2.151%

3.520%

-6.612%

0.665% 0.672%

-0.507%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

EUR USD JPY GBP CHF CAD AUD NZD SEK NOK

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FX: Trade Weighted US Dollar Indices Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 1.73% 0.82%

Annual excess return volatility 5.56% 6.02%

Sharpe ratio 0.3 0.1

Best monthly return 4.00% 2.98%

Worst monthly return -5.92% -3.55%

Worst drawdown 14.58% 5.61%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alternative Beta Dollar Diversification Index US ER BXIIDDEU Feb 2009

α β

80

90

100

110

120

130

140

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Trade Weighted USD ER Index

Currency Basket Weights for 2011

Source: Barclays Capital

EUR, 18.43%

CNY, 19.46%

INR, 2.07%

KRW, 3.68%

SGD, 2.02%

GBP, 4.54%

CAD, 22.93%

BRL, 2.49%

JPY, 7.79%MXN, 16.59%

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FX: CPCI – Commodity Producers Currency Index Index performance

Source: Barclays Capital

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 8.66% 8.60%

Annual excess return volatility 9.78% 10.61%

Sharpe ratio 0.9 0.8

Best monthly return 7.90% 5.44%

Worst monthly return -12.17% -5.50%

Worst drawdown 27.72% 8.97%

Source: Barclays Capital

CPCI Weights

Source: Barclays Capital

• The Commodity Producers Currency Indices are designed to provide an investor exposure to the performance of commodity-producing 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.

Overview Style Featured Index Bloomberg Live Date

Alternative Beta CPCI 6-Ccy USD ER BXIIC6EU Feb 2010

α β

90

110

130

150

170

190

210

230

2002 2003 2004 2005 2006 2007 2008 2009 2010

CPCI USD ER Index

RUB, 16.67%

AUD, 16.67%

ZAR, 16.67%

CAD, 16.67% BRL, 16.67%

NOK, 16.67%

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FX: FX Volatility Index Index performance

Source: Barclays Capital

• 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. Historical performance: As of December 31, 2010

Statistic Since Inception Last 12 Months

Annual excess return 3.91% 6.89%

Annual excess return volatility 3.52% 3.17%

Sharpe ratio 1.1 2.2

Best monthly return 2.77% 1.98%

Worst monthly return -4.33% -0.96%

Worst drawdown 9.25% 1.80%

Source: Barclays Capital

Alpha Vol Index Currency Weights (June 2010)

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alternative Beta Alpha Vol USD ER BXIIAEUS Jan 2009

α β

90

100

110

120

130

140

150

160

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Alpha Vol USD ER Index

66.67%

-66.67%-100%

-75%

-50%

-25%

0%

25%

50%

75%

100%

AU

DJP

Y

AU

DU

SD

EUR

CH

F

EUR

GBP

EUR

JPY

EUR

NO

K

EUR

SEK

EUR

USD

GBP

USD

USD

CA

D

USD

CH

F

USD

JPY

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FX: ICI – Intelligent Carry Index Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 4.74% 3.33%

Annual excess return volatility 6.09% 4.50%

Sharpe ratio 0.8 0.7

Best monthly return 4.78% 1.96%

Worst monthly return -4.77% -2.45%

Worst drawdown 24.22% 5.44%

Source: Barclays Capital

Index Currency Weights (January 2011)

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Enhanced Beta ICI USD ER BXIICRUS Jun 2006

α β

90

110

130

150

170

190

210

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

ICI USD ER Index

-6.85%-15.09%

6.18%13.81%

6.41%

-5.92%-3.24%

-25.95%-30.11%

60.76%

-100%

-75%

-50%

-25%

0%

25%

50%

75%

100%

AUD CAD CHF EUR GBP JPY NOK NZD SEK USD

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FX: FX Value Convergence Index Index performance

Source: Barclays Capital

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 2.20% -7.38%

Annual excess return volatility 5.88% 5.95%

Sharpe ratio 0.4 -1.2

Best monthly return 9.78% 2.26%

Worst monthly return -4.63% -3.25%

Worst drawdown 10.61% 10.25%

Source: Barclays Capital

USDJPY Value Convergence Illustration

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

• 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.

Overview Style Featured Index Bloomberg Live Date

Alpha FX Value Convergence USD ER BXIIVEUS Jan 2009

α β

90

100

110

120

130

140

150

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

FX Value Convergence USD ER Index

0

20

40

60

80

100

120

140

160

180

200

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010

Periods of dollar appreciation converging toward PPP-implied fair value

USDJPY PPP Rate

USDJPY Spot Rate

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FX: Adaptive FX Trend Index performance

Source: Barclays Capital

• The Adaptive FX Trend index attempts to capture alpha by identi-fying 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 ac-cording to volatility.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 3.28% -0.04%

Annual excess return volatility 5.46% 2.81%

Sharpe ratio 0.6 0.0

Best monthly return 4.88% 1.25%

Worst monthly return -3.93% -0.98%

Worst drawdown 8.92% 3.37%

Source: Barclays Capital

Example trend identification for USDJPY

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

Overview Style Featured Index Bloomberg Live Date

Alpha Adaptive FX Trend USD ER BXIIATEU Sep 2008

α β

90

100

110

120

130

140

150

160

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Adaptive FX Trend USD ER Index

75

80

85

90

95

100

105

Jan 09 Apr 09 Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Oct 10

Spot FX

Short Mov Avg

Med Mov Avg

Long Mov Avg

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FX: FX Switch Index performance

Source: Barclays Capital

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 4.92% -0.25%

Annual excess return volatility 4.17% 3.04%

Sharpe ratio 1.2 -0.1

Best monthly return 3.90% 1.21%

Worst monthly return -3.61% -2.06%

Worst drawdown 7.41% 4.73%

Source: Barclays Capital

Dynamic Allocation Strategy of Switch

Source: Barclays Capital

SWITCHCarry50%

Trend25%

Value25%

Value50%

Trend50%

Favorable Carry Environment Unfavorable Carry Environment

Overview Style Featured Index Bloomberg Live Date

Alpha FX Switch USD ER BXIISWEU Apr 2010

α β

• 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.

90

100

110

120

130

140

150

160

170

2002 2003 2004 2005 2006 2007 2008 2009 2010

FX Switch USD ER Index

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Commodities: Overview and Classification

β

α

Index Description

Macro-th

ematic

Providing a broad-based com-modities benchmark index

Market t

echnica

ls Value

Tren

d

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Targeting outperforming points on term structure

Targeting tracking of nearby futures avoiding distortions

Strategy going long Momen-tum Alpha and short nearby

Momentum Alpha

Pure Beta S2

ComBATS

Applying distinct strategies to individual commodity sectors Multi -

Strategy Seeking to generate absolute commodity returns Voyager

Exposure to scarce commodi-ties implied by backwardation Backwarda-

tion

Tracking investments in most liquid carbon credit schemes BGCI

(Carbon)

BCI

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Commodities: Barclays Capital Commodities 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.

Index performance

Source: Barclays Capital

BCI Index Family

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Access Beta BCI USD TR BCC1C10T Jan 2011

α β

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual total return 12.30% 19.91%

Annual excess return 9.11% 19.69%

Sharpe ratio 0.5 1.1

Best monthly return 15.17% 8.17%

Worst monthly return -24.45% -8.53%

Worst drawdown 58.10% 14.16%

Source: Barclays Capital

Annual excess return volatility 18.56% 17.16%

0

100

200

300

400

500

600

700

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

BCI USD TR Index BCI Trade-Weighted USD TR Index

BCI Agriculture

Barclays Capital Commodity Index (BCI)

BCI Trade-Weighted Index

BCI Grains & Oil seeds

BCI Precious Metals

BCI Softs

BCI Indus-trial Metals

BCI Livestock

BCI Energy

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Commodities: A benchmark for carbon – BGCI

• 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).

Index performance

Source: Barclays Capital

Global Carbon Index Structure

Source: Barclays Capital

Global Carbon Index

EU Emissions Trading Scheme Phase II.

European Union Allowance (EUA).

Kyoto Clean Development Mechanism.

Certified Emission Reduction (CER).

Other schemes as they become

eligible ...

Futures Contract traded on European Climate

Exchange (ECX).

Futures Contract traded on European Climate

Exchange (ECX).

Sche

me

Car

bon

inst

rum

ent

Overview Style Featured Index Bloomberg Live Date

Access Beta Emissions BGCI USD ER BXIIGCUP Dec 2007

α β

50

70

90

110

130

150

170

190

210

2006 2007 2008 2009 2010

Global Carbon USD ER Index

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return -2.48% 11.07%

Annual excess return volatility 39.26% 29.04%

Sharpe ratio -0.1 0.4

Best monthly return 24.36% 24.36%

Worst monthly return -25.02% -7.38%

Worst drawdown 71.19% 16.54%

Source: Barclays Capital

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Overview Style Featured Index Bloomberg Live Date

Enhanced Beta Pure Beta DJ-UBSCISM ER BCC3C1PP Oct 2009

Commodities: Redefining commodity beta with Pure Beta

• 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.

Index performance

Source: Bloomberg, Barclays Capital

Historical performance: As of December 31, 2010 Pure Beta on DJ-UBSCISM ER Since Inception Last 12 Months

Statistic PB DJ-UBS PB DJ-UBS

Annual excess return 11.13% 5.27% 18.42% 16.67%

Annual total return volatility 16.37% 17.21% 15.83% 16.38%

Sharpe ratio 0.7 0.3 1.2 1.0

Annual Alpha 5.39% 1.97%

Tracking Error 2.96% 1.87%

Information Ratio 1.8 1.1

Worst drawdown 55.35% 57.13% 14.91% 15.86%

Source: Barclays Capital

Pure Beta Index Family

Source: Barclays Capital

Barclays Capital single commodity Pure Beta indices

Total and excess return versions available

Pure Beta applied to benchmarks and sub-indices Long/long-short index baskets

S&P GSCITM S&P GSCITM Light Energy

S&P GSCITM Livestock

DJ-UBS CISM

Energy DJ-UBS CISM

Agriculture

ComBATS DJ-UBS Cdty

IndexISM Custom Baskets

α β

-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

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Commodities: Enhancing beta through term momentum

Historical performance: As of December 31, 2010 MA on DJ-UBSCISM ER Since Inception Last 12 Months

Statistic MA DJ-UBS MA DJ-UBS

Annual excess return 11.48% 5.27% 16.13% 16.67%

Annual total return volatility 16.51% 17.21% 15.78% 16.38%

Sharpe ratio 0.7 0.3 1.0 1.0

Annual Alpha 5.69% -0.56%

Tracking Error 3.33% 2.11%

Information Ratio 1.7 -0.3

Worst drawdown 53.73% 57.13% 15.79% 15.86%

Source: Barclays Capital

• 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.

Index performance

Source: Bloomberg, Barclays Capital

Momentum Alpha Index Family

Source: Barclays Capital

Total and Excess Returns Versions Available

Barclays Capital Single Commodity Momentum Alpha Indices

Momentum Alpha applied to benchmarks and sub-indices

Long or Long-Short Index baskets

S&P GSCI

S&P GSCI LE DJ-UBSCI

DJ-UBS Energy

DJ-UBS Metals

ComBATS 6

ComBATS 7

ComBATS 8

ComBATS 9

Customised

Overview Style Featured Index Bloomberg Live Date

Enhanced Beta Momentum Alpha DJ-UBSCISM ER BCC3C1MP Apr 2008

α β

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 201090

110

130

150

170

190

210Momentum Alpha on DJ-UBSCI ER Monthly Outperformance

Outperformance Index (RHS)

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Commodities: Multi-strategy enhanced beta

Historical performance: As of December 31, 2010 MS on DJ-UBSCISM ER Since Inception Last 12 Months

Statistic MS DJ-UBS MS DJ-UBS

Annual excess return 12.13% 5.27% 18.25% 16.67%

Annual total return volatility 15.92% 17.21% 15.57% 16.38%

Sharpe ratio 0.8 0.3 1.2 1.0

Annual Alpha 6.19% 1.34%

Tracking Error 3.54% 2.57%

Information Ratio 1.7 0.5

Worst drawdown 53.35% 57.13% 14.87% 15.86%

Source: Barclays Capital

• 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 Multi-Strategy 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.

Index performance

Source: Bloomberg, Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Enhanced Beta Multi-Strategy DJ-UBSCISM ER BCC3C1UP Feb 2010

α β

0

50

100

150

200

250

300

350

400

450

500

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Multi-Strategy DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased)

Enhancements based on characteristic behavior

Source: Barclays Capital

Roll Yield Maximization Strategy

Aluminum

Momentum Alpha Strategy

Seasonal Strategy Standard Index Methodology

Nickel Coffee Corn

Heating Oil Natural Gas Gold Silver

RBOB Gasoline US Copper Cotton Lean Hogs

WTI Crude Oil Zinc Live Cattle Soybean Oil

Soybeans Sugar

Wheat

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Commodities: Navigating commodity markets

• 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.

Index performance

Source: Bloomberg, Barclays Capital

Voyager Allocation Process

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Enhanced Beta Voyager DJ-UBSCISM USD ER BCC3C1VP Jun 2010

α β

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 16.89% 16.04%

Annual excess return volatility 13.48% 14.27%

Sharpe ratio 1.3 1.1

Best monthly return 12.20% 6.13%

Worst monthly return -11.45% -7.36%

Worst drawdown 27.05% 12.11%

Source: Barclays Capital

Calculation of the Signal

Signal

Alpha Allocation

Bullish Bearish

Enhanced Beta Allocation

Enhanced Beta Allocation Long Enhanced Beta Allocation/

Short nearby Index

0

100

200

300

400

500

600

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Voyager DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased)

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Commodities: Value investing using fundamental factors Index performance

Source: Bloomberg, Barclays Capital

Backwardation in commodity futures curves

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Enhanced Beta Backwardation ER BCCFBKLP Dec 2010

α β

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 25.08% 36.03%

Annual excess return volatility 18.44% 17.14%

Sharpe ratio 1.4 2.1

Best monthly return 14.61% 8.91%

Worst monthly return -24.64% -6.49%

Worst drawdown 52.67% 14.38%

Source: Barclays Capital

Pric

e

Nearby Future Time to Expiry Distant Futures

Low inventories make the near contracts

trade at higher prices

Expectation of inventories returning to normal levels

0

200

400

600

800

1000

1200

1400

1600

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.

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Commodities: Fundamentals Series – Backwardation L/S Index performance

Source: Barclays Capital

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

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha Backwardation Long Short ER BCCFBKAP Dec 2010

α β

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 15.68% 13.04%

Annual excess return volatility 11.76% 10.42%

Sharpe ratio 1.3 1.3

Best monthly return 9.56% 5.19%

Worst monthly return -9.66% -5.69%

Worst drawdown 15.42% 11.53%

Source: Barclays Capital

0

100

200

300

400

500

600

700

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.

Cotton

Corn

Sugar

Cocoa

Kansas WheatWheat

Soybeans

Live Cattle

Lean Hogs

Silver

Gold

Nickel

Alum.Zinc

Lead

Copper

Natural Gas

UnleadedGas Oil

Heating OilBrent Crude

WTI

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

-15% -12% -9% -6% -3% 0% 3% 6% 9%

Contango Backwardation

Ave

rage

mon

thly

ret

urn

Coffee

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Commodities: Market-neutral alpha strategy

• 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 long-short pairs selected to provide a balance of sector and commodity weights.

Index performance

Source: Barclays Capital

Commodity Weights

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha ComBATS 6 ER BCCAC06P Jan 2009

α β

-20% -15% -10% -5% 0% 5% 10% 15% 20%

Sugar

Lean Hogs

Wheat

Zinc

Nickel

Copper

Aluminium

WTI

Natural Gas

Heating Oil

Short: Nearby Indices Long: Momentum Alpha Indices

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 9.60% 0.90%

Annual excess return volatility 3.84% 4.12%

Sharpe ratio 2.5 0.2

Best monthly return 2.94% 1.65%

Worst monthly return -3.07% -2.51%

Worst drawdown 5.64% 4.05%

Source: Barclays Capital

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 201090

115

140

165

190

215

240

265

290ComBATS 6 Monthly Excess ReturnsComBATS 6 USD ER Index (RHS)

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Equities: Overview and classification

Tren

d

β

α

Navigator

Q Series

Equity EM Series

TOM™

Index Description

Macro-th

ematic

Exposure to various thematic Emerging Market baskets

Market t

echnica

ls Value

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Thematic access to quality stocks

Strategy based on the turn-of-month effect in stock indices

Capturing trends in a portfolio of European stock indices Quantitative methods applied to various strategic focuses

Chips Family

ASTRO Capturing the premium in short-term mean reversion

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Equities: EM Series – CEEMEA Sector Indices Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual price return 17.00% 7.01%

Annual price return volatility 27.39% 20.28%

Sharpe ratio 0.6 0.3

Best monthly return 18.34% 9.94%

Worst monthly return -23.30% -12.44%

Worst drawdown 65.21% 23.08%

Source: Barclays Capital

CEEMEA Selection Procedure

Subject to liquidity filters

Selected constituents stocks

Market Capitalisation Average Daily Turnover

Listed on the relevant exchanges Member of appropriate GICS sector

Initial Universe

Overview Style Featured Index Bloomberg Live Date

Access Beta CEEMEA Telecom BXIICEMT Oct 2009

α β

0

50

100

150

200

250

300

350

400

450

500

2004 2005 2006 2007 2008 2009 2010

Telecom Sector Index Bank Sector IndexConsumers Sector Index Energy Sector Index

Materials Sector Index

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Equities: EM Series – E7 Countries Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual total return 23.84% 20.88%

Annual excess return volatility 31.90% 24.96%

Sharpe ratio 0.6 0.8

Best monthly return 20.95% 12.93%

Worst monthly return -26.36% -6.94%

Worst drawdown 70.02% 15.82%

Source: Barclays Capital

Annual excess return 20.71% 20.66%

Overview Style Featured Index Bloomberg Live Date

Access Beta E7 USD TR BXIIE7TU Jan 2010

α β

E7 Selection Procedure

Selected Constituent Stocks

Subject to Liquidity Ranking

Subject to Liquidity Filters

Initial Universe

Market Capitalisation >= USD 2bn

Liquidity

>= USD 20mln

50

100

150

200

250

300

350

400

2005 2006 2007 2008 2009 2010

E7 USD TR Index MSCI EM Index (Rebased)S&P BRIC 40 Index (Rebased)

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Equities: EM Series – Advanced Emerging Markets Index performance

Source: Barclays Capital

• 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.

Overview Style Featured Index Bloomberg Live Date

Access Beta Advanced EM USD TR BXIIAMTU Nov 2010

α β

AEM Selection Procedure

Selected Constituent Stocks

Subject to Liquidity Ranking

Subject to Liquidity Filters

Initial Universe

Market Capitalisation >= USD 2bn

Liquidity

>= USD 20mln

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual total return 22.87% 20.10%

Annual excess return volatility 27.90% 21.68%

Sharpe ratio 0.7 0.9

Best monthly return 20.87% 10.96%

Worst monthly return -30.55% -7.79%

Worst drawdown 63.47% 14.60%

Source: Barclays Capital

Annual excess return 19.79% 19.88%

50

100

150

200

250

300

350

400

2005 2006 2007 2008 2009 2010

AEM USD TR Index MSCI EM Index (Rebased)S&P BRIC 40 Index (Rebased)

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Equities: Chips – Thematic access to quality stocks Index performance

Source: Barclays Capital

• 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.

Overview Style Featured Index Bloomberg Live Date

Access Beta European Chips EUR TR BXIICETE Oct 2010

α β

Chips Index Family

Source: Barclays Capital

UK founded with expected future earnings growth potential

US Chips Innovative US stocks with high annual R&D expenditure growth

China Chips Quality Chinese stocks

European Chips Western European potential leading stocks

Country Exposure

Sector Exposure

Investment Style Exposure

Global stocks with high dividends and low debt ratios

Environmentally friendly global stocks Green Chips

Global stocks involved in senior activities Grey Chips

Black Chips

UK Chips Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual total return 10.37% 36.87%

Annual excess return volatility 19.45% 11.18%

Sharpe ratio 0.4 3.2

Best monthly return 15.79% 7.57%

Worst monthly return -17.44% -3.95%

Worst drawdown 60.25% 9.98%

Source: Barclays Capital

Annual excess return 7.83% 36.28%

0

50

100

150

200

250

300

350

400

450

2005 2006 2007 2008 2009 2010

European Chips EUR TR Index UK Chips USD TR IndexUS Chips USD TR Index China Chips HDK TR IndexGreen Chips USD TR Index Grey Chips USD TR IndexBlack Chips USD TR Index

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Equities: ASTRO – Algorithmic Short Term ReversiOn

Index performance

Source: Bloomberg, Barclays Capital

• The Barclays Capital ASTRO index is designed to take advan-tage of short-term mean reversion in equity markets by repli-cating 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 for-mats.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 5.76% 0.41%

Annual excess return volatility 8.91% 2.51%

Sharpe ratio 0.6 0.2

Best monthly return 18.82% 1.63%

Worst monthly return -5.40% -1.18%

Worst drawdown 20.78% 4.15%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alternative Beta ASTRO US ER BXIIASUE Sep 2010

α β

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.

Average Leveraged Delta

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

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%.

90

100

110

120

130

140

150

160

170

180

190

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

ASTRO US ER Index

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Equities: TOMTM – Turn-Of-the-Month Index Index performance

Source: Bloomberg, Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 17.18% 14.85%

Annual excess return volatility 17.94% 14.99%

Sharpe ratio 1.0 1.0

Best monthly return 22.08% 9.46%

Worst monthly return -15.54% -7.07%

Worst drawdown 23.30% 10.39%

Source: Barclays Capital

TOMTM Index Family

TOMTM Long TOMTM Long/Short

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

S&P 500 FTSE 100

US UK Europe South Africa

DJ Euro STOXX 50 FTSE/JSE TOP 40

TOMTM Long/Short Strategy Illustration

Source: Barclays Capital

Strategy goes short 10 business days before month-end

Strategy closes its short position four business days before month-end Strategy goes long

First 3 days 4 5 6 …… Last 3 days Last 10 days

Month n

First 3 days 4 5 6 …… Last 3 days Last 10 days

Month n+1

Strategy sells the equity position three business days after beginning of following month

Overview Style Featured Index Bloomberg Live Date

Enhanced Beta TOM™ EUR Long/Short ER BXIIEUSE Aug 2009

α β

0

100

200

300

400

500

600

700

800

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

TOM Long/Short Euro STOXX EUR ER Index

TOM Long Euro STOXX EUR ER Index

DJ EURO STOXX 50 ER (Rebased)

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Equities: Navigator – Capturing trends in stock indices Index performance

Source: Bloomberg, Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 14.61% -11.36%

Annual excess return volatility 17.41% 13.43%

Sharpe ratio 0.8 -0.8

Best monthly return 22.47% 6.55%

Worst monthly return -14.64% -5.82%

Worst drawdown 27.89% 18.02%

Source: Barclays Capital

Navigator Investment Allocation Procedure

Source: Barclays Capital

Determine if the index is

mean reverting

The final decision is based

on realized volatility signal

Detects the direction of a

long-term market trend

In Mean-Reverting Markets

Uptrend

Downtrend

+ Increasing Volatility

+ Decreasing Volatility

=

=

LONG

SHORT

Overview Style Featured Index Bloomberg Live Date

Alpha Navigator EUR ER BXIINAVE May 2009

α β

0

100

200

300

400

500

600

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Navigator EUR Index ER DJ EURO STOXX 50 ER (Rebased)

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Equities: Q-GSP – Growth Stock Picking strategy Index performance

Source: Bloomberg, Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 9.00% 6.51%

Annual excess return volatility 8.62% 2.77%

Sharpe ratio 1.0 2.3

Best monthly return 8.67% 1.98%

Worst monthly return -5.12% -0.80%

Worst drawdown 12.52% 2.71%

Source: Barclays Capital

Q-GSP selection procedure

Source: Barclays Capital

Initial Universe of

Stocks

Q-GSP Model

Growth Filter

Growth Rate & PE Ranking

+ Basket of Top 25 Stocks

Overview Style Featured Index Bloomberg Live Date

Alpha Q-GSP Large Cap USD ER BXIIGUER Nov 2009

α β

0

50

100

150

200

250

300

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Q-GSP USD ER Index S&P500 (Rebased)

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Equities: Q-True Value – Value stocks with high quality Index performance

Source: Bloomberg, Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 7.20% -5.75%

Annual excess return volatility 7.71% 6.34%

Sharpe ratio 0.9 -0.9

Best monthly return 7.20% 2.67%

Worst monthly return -5.95% -2.64%

Worst drawdown 11.51% 6.91%

Source: Barclays Capital

Q-True Value selection procedure

Source: Barclays Capital

Initial Universe of

Stocks

Q-TV Model

Value Filter

CDP Ranking

+ Basket of Top 25 Stocks

Overview Style Featured Index Bloomberg Live Date

Alpha Q-True Value Large Cap USD ER BXIIQVLE Oct 2010

α β

0

50

100

150

200

250

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Q-True Value Large Cap USD ER S&P500 (Rebased)

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Equities: Q-BES – Earnings Surprise strategy Index performance

Source: Bloomberg, Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 11.82% 2.19%

Annual excess return volatility 10.04% 5.62%

Sharpe ratio 1.2 0.4

Best monthly return 10.53% 1.91%

Worst monthly return -7.66% -3.53%

Worst drawdown 21.05% 8.59%

Source: Barclays Capital

Q-BES selection procedure

Source: Barclays Capital

Initial Universe of

Stocks

Q-BES Model

Value Filter

Earnings Surprise Test

+ Basket of Top 25 Stocks

Overview Style Featured Index Bloomberg Live Date

Alpha Q-BES USD ER BXIIQBEE Sep 2008

α β

0

50

100

150

200

250

300

350

400

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Q-BES USD ER Index S&P500 (Rebased)

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Equities: Q-MA – Merger Arbitrage strategy Index performance

Source: Bloomberg, Barclays Capital

• 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 target’s 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 5.97% 6.95%

Annual excess return volatility 5.23% 5.89%

Sharpe ratio 1.1 1.2

Best monthly return 6.61% 4.04%

Worst monthly return -3.87% -1.88%

Worst drawdown 10.23% 4.74%

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha US Q-MA USD ER BXIIQMUE Nov 2010

α β

Q-MA selection procedure

Source: Barclays Capital

Initial Universe

Selection Process

Weights Determination Investment

Deal Type

Deal Size

Exchange

Country Risk

Deal Risk

Liquidity

Expected Loss

Concentration

0

20

40

60

80

100

120

140

160

2005 2006 2007 2008 2009 2010

US Q-MA USD ER Index S&P500 (Rebased)

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EM: Overview and Classification

β

α

Index Description

Macro-th

ematic

Diversified, tradable, thematic baskets of EM bonds

Market t

echnica

ls Value

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Tracking investments in EM interest rate swaps

Tracking investments in 15 EM money markets Extracting term-premium from the KRW swap curve

EM Tradable Bond Family

GEMS

EM Swaps

KRW Term Premium

Tren

d

Extracting term-premium from the SGD yield curve SGD Exceed

Equity EM Series1

Exposure to various thematic Emerging Market baskets

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

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EM: Tradable Sovereign Bond Index α β

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.

• 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: Barclays Capital

Year EM Tradable USD Sovereign Index

Broad EM USD-Sov Universe

(MV weighted) Difference

2H 2004 16.08 14.66 1.42 2005 12.32 10.51 1.81 2006 9.62 9.94 -0.32 2007 5.50 6.10 -0.60 2008 -10.70 -10.63 -0.07 2009 24.88 27.58 -2.70

1Q 2010 3.28 3.84 -0.56 Jun 2004-1Q 2010

(Annualized) 9.93 10.07 -0.14

Avg Monthly TEV -0.02 Realized TEV 0.99 Corr. of monthly returns 97.5%

Historical Annual Returns

Index performance

Source: Bloomberg, Barclays Capital

90

100

110

120

130

140

150

160

170

180

2004 2005 2006 2007 2008 2009

EM Tradable USD Sovereign Index Broad EM USD-Sov Index

GDP-Capped Country Weights: May 2010

Source: Barclays Capital

Arg

enti

na

Braz

il

Col

ombi

a

Mex

ico

Peru

Uru

guay

Ven

ezue

la

Cro

atia

Hun

gary

Isra

el

Pola

nd

Lith

uani

a

S. A

fric

a

Qat

ar

Rus

sia

Turk

ey

UA

E

Indo

nesi

a

Phili

ppin

es

S. K

orea

Pana

ma

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

% o

f Ind

ex

LATAM AsiaEMEA

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EM: Tradable Local Currency Bond Index α β

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.

• 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.

Source: Barclays Capital

Index performance

Source: Bloomberg, Barclays Capital

Country Weights: November 2010

Source: Barclays Capital

S.Ko

rea

Indo

.

Thai

land

Mal

aysi

a

Pola

nd

Russ

ia

Czec

h Re

p

Hun

gary

Chile

Peru

Braz

il

Mex

ico

Egyp

t

Isra

el

Turk

ey

S.A

fric

a

0%

2%

4%

6%

8%

10%

12%

14% Eastern EuropeAsia Latin America ME & Africa

Historical Quarterly Returns (USD, Unhedged)

Year EMLOCAL Index EM Loc Currency

Govt Index Difference

(bps)

4Q08 -7.53% -5.56% -197 1Q09 -5.44% -6.76% 132 2Q09 13.32% 12.38% 94 3Q09 7.94% 8.29% -35 4Q09 3.63% 3.23% 40 1Q10 4.40% 4.75% -35 2Q10 -3.99% -3.30% -69

Aug 2008-Dec 2010 (Annualized)

4.68% 4.44% 24

Average Monthly TE 1 Realized Monthly TE 84

3Q10 11.02% 11.04% -2 4Q10 0.30% 0.06% 24

70

80

90

100

110

Jul-08 Jan-09 Jul-09 Jan-10 Jul-10

Index Value

EMLOCAL Index EM Local Currency Govt Index

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EM: EMTIL – EM Tradable Inflation Linked Index α β

Overview

• The Barclays Capital Emerging Markets Tradable Inflation Linked Index (EMTIL) is a tradable subset of the flagship EM Government Inflation-Linked (EMGILB) benchmark bond index.

• 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.

Source: Barclays Capital

Index performance (USD, Unhedged)

Source: Bloomberg, Barclays Capital

Country Weights: March 2010 Rebalancing

Source: Barclays Capital

Historical Quarterly Returns (USD, Unhedged)

Brazil25.0%

Mexico25.0%

Chile5.8%

Turkey20.2%

S.Africa14.0%

Poland5.0%

S.Korea5.0%

60

80

100

120

140

160

180

Mar-07 Mar-08 Mar-09 Mar-10

EMTIL EMGILB x Col x Arg (Constrained) EMGILB Constrained

EMTIL Index

EMGILB Ex Argy Ex Colom

EMGILB (constrained)

Annualized return (March 07-Sept 10)

12.79% 13.98% 11.15%

Annualized volatility 15.47% 15.17% 18.25%

Information ratio 0.83 0.92 0.61

Tracking error - 1.27% 4.24%

Correlation with EMTIL - 0.99 0.95

# Bonds 13 54 65

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EM: Asia and EEMEA Swap Index Families

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 2.41% 2.77%

Annual excess return volatility 7.26% 4.45%

Sharpe ratio 0.3 0.6

Best monthly return 8.25% 2.74%

Worst monthly return -6.77% -1.69%

Worst drawdown 17.40% 7.04%

Source: Barclays Capital

EM Swap Index Families

Source: Barclays Capital

Index performance

Source: Bloomberg, Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Access Beta Asia Swap 10 YR SGD ER BSWACS10 Oct 2009

Asia Swap Index Family

HKD, KRW, SGD, THB, TWD

1Y-5Y, 7Y & 10Y Indices Investable

6Y, 8Y & 9Y Indices are Indicative

SGD 20Y Indices Investable

HDK, KRW, THB & TWD 20Y Indices in development

ZAR 5Y forward 5Y Indices Investable

CZK, HUF, ILS, PLN, SAR, ZAR

EEMEA Swap Index Family

1Y-10Y Indices Investable

1Y forward 1Y Indices Investable

α β

90

95

100

105

110

115

120

125

130

135

2002 2003 2004 2005 2006 2007 2008 2009 20101.5

2

2.5

3

3.5

4

4.5

5SGD 10Y Swap ER Index SGD 10Y Swap Rate (RHS)

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EM: Local currency money market exposure with GEMS

Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 8.73% 5.96%

Annual excess return volatility 7.85% 8.21%

Sharpe ratio 1.1 0.7

Best monthly return 5.79% 4.51%

Worst monthly return -11.38% -4.27%

Worst drawdown 23.12% 6.95%

Source: Barclays Capital

Access global emerging money markets

Source: Barclays Capital

GEMS Family

Total Return Alpha Spot

Global

EEMEA

ASIA

LatAm

EUR

AUD

Global

Pegged

Asia - 8

BRIC

JPY

Overview Style Featured Index Bloomberg Live Date

Access Beta Global Emerging Markets Strategy (GEMS) USD ER

BXIIGEEU Jul 2006

α β

90

110

130

150

170

190

210

230

250

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

GEMS USD ER Index

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EM: KRW Rates Term Premium

• The Barclays Capital KRW Term Premium Index provides ac-cess to a systematic forward bias strategy and aims to offer enhanced returns across interest rate cycles.

• The index framework dynamically selects long or short posi-tions 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 mar-kets.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 1.01% 1.74%

Annual excess return volatility 0.99% 0.36%

Sharpe ratio 1.0 4.9

Best monthly return 1.31% 0.29%

Worst monthly return -0.87% -0.06%

Worst drawdown 1.32% 0.43%

Source: Barclays Capital

KRW and USD rates correlation on monthly changes

Source: Bloomberg, Barclays Capital

Index performance

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha KRW Rates Term Premium ER BXIIKRTP Dec 2010

α β

98

100

102

104

106

108

110

2002 2003 2004 2005 2006 2007 2008 2009 2010

KRW Rates Term Premium ER IndexKRW Rates Term Premium Long-Only ER Index

0%

1%

2%

3%

4%

5%

6%

7%

2001 2002 2003 2004 2005 2006 2007 2008 2009 20100.0

0.1

0.2

0.3

0.4

0.5

0.6KRW 1Y Swap Rate USD 3M LIBORCorrelation (RHS) Full sample correlation (RHS)

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EM: SGD Exceed – Front-end alpha extraction

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 1.04% 0.96%

Annual excess return volatility 0.76% 0.58%

Sharpe ratio 1.4 1.7

Best monthly return 0.80% 0.36%

Worst monthly return -0.39% -0.20%

Worst drawdown 1.21% 0.43%

Source: Barclays Capital

Allocation and short-term rates

Source: Bloomberg, Barclays Capital

Index performance

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Alpha SGD Exceed ER BXIISGEX Jan 2010

α β

98

100

102

104

106

108

110

2002 2003 2004 2005 2006 2007 2008 2009 2010

SGD Exceed ER Index SGD Exceed Long-Only ER Index

0%

1%

2%

3%

4%

5%

6%

7%

2002 2003 2004 2005 2006 2007 2008 2009 2010-2

-1

0

1

2SGD SORF 6M USD LIBOR 3M Allocation (RHS)

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Index Replication: Overview and Classification

β

α

Index Description

Macro-th

ematic

Tracking bond indices using derivative instruments

Market t

echnica

ls Value

Volatilit

y Marke

t tim

ing

Market n

eutra

l

Momentum

Carry

Tracking the US MBS Fixed-Rate Index with TBA positions

Tracking the HFRI Composite Index

Tren

d

LBAR/SBAR Hedge fund

REMIX (MBS)

RBIs® Bond Indices

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Index Replication: Replicating Bond Index (RBI®) Baskets α β

Index performance

Source: Barclays Capital

• 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.

Performance of RBI® Baskets (Apr 2004—Apr 2010) RBI Basket Description TEV (bp/mo)

US Aggregate RBI® TRS (UST, MBS)

Swaps, CDX 44.0

US Gov/Credit RBI® TRS (UST),

Swaps, CDX 57.8

Global Aggregate RBI® TRS (UST, US MBS), Swaps, JGB futures,

CDX, iTraxx 34.5

Global Aggregate x US RBI®

Swaps, JGB futures, CDX, iTraxx

33.3

Euro Aggregate RBI® Futures, Swaps,

iTraxx 38.2

Japanese Aggregate RBI® (from Oct 2003)

Swaps, JGB futures 21.2

Source: Barclays Capital

|TE| Worst (bp)

185.6

233.8

174.1

161.9

157.2

81.1

Different RBI® Baskets for Different Benchmarks

Source: Barclays Capital

Overview Style Featured Indices Bloomberg Live Date

Access Beta Global Aggregate RBI® Series 2 LB04 Apr 2004

US Aggregate RBI® Series 2 LB01 Apr 2004

RBI® Baskets

Global Aggregate

US Aggregate

Custom Client Benchmarks

Govt / Credit

Japanese Aggregate

European Aggregate

Global

Aggregate Ex USD

90

100

110

120

130

140

2004 2005 2006 2007 2008 2009 2010

US Aggregate RBI US Aggregate Index

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Index Replication: Tracking MBS using REMIX α β

Adding MBS Allocation to an Intermediate UST Portfolio Improves Overall Portfolio Performance

Note: Data 1/98—4/10. Source: Barclays Capital

• 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.

Adding MBS to an Intermediate UST Portfolio Improves the Portfolio’s Tail Risk Properties

MBS proportion 0% 20% 40% 60% 80% 100%

Monthly total return 0.42% 0.43% 0.44% 0.45% 0.47% 0.48%

Monthly total return volatility 0.98% 0.95% 0.94% 0.94% 0.96% 0.99%

Best monthly return 3.70% 3.57% 3.45% 3.33% 3.21% 3.08%

Worst monthly return -2.26% -2.87% -3.55% -4.23% -4.92% -5.60%

Note: Data: 1/98—4/10. Source: Barclays Capital

Tracking Error: REMIX vs. Fixed Rate MBS Index

Source: Barclays Capital

Overview Style Featured Index Live Date

Access Beta MBS Index Replication Portfolio Sept 2001

0.40

0.42

0.44

0.46

0.48

0.50

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%Portion (%) of MBS in Portfolio

Shar

pe R

atio

-60

-50

-40

-30

-20

-10

0

10

20

2001 2002 2003 2004 2005 2006 2007 2008 2009

Tra

ckin

g Er

ror

(bps

)

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Index Replication: Tracking hedge fund returns

Index performance

Source: Barclays Capital

• 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.

Historical performance: As of December 31, 2010 Statistic Since Inception Last 12 Months

Annual excess return 3.58% 2.19%

Annual excess return volatility 7.45% 5.68%

Sharpe ratio 0.5 0.4

Best monthly return 7.13% 2.08%

Worst monthly return -8.69% -3.14%

Worst drawdown 26.22% 6.57%

Source: Barclays Capital

Replication Results Comparison

Source: Barclays Capital

Overview Style Featured Index Bloomberg Live Date

Beta Replication LBAR USD ER BXIILARE Mar 2009

α β

90

110

130

150

170

190

210

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

LBAR USD ER Index

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

Dec 2009 Apr 2010 Aug 2010 Dec 2010

HFRI Composite LBAR

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110

Overview of Barclays Capital POINT® Innovative Multi-Asset Portfolio Analysis

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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 Capital’s 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

Scalable Platform

• Flexible front end for intra-day analysis

• Automated reporting and portfolio maintenance

• Robust, enterprise-wide batch processing

• Client data security

Portfolio & Index Analysis

• Multi-factor risk models

• Hybrid Performance Attribution

• Portfolio optimization and hedging tools

• Scenario Analysis

Single Security Analytics

• 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

Source: Barclays Capital

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POINT Coverage

Indices

Multi-Asset

IR & Derivatives

Global Cust

om

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

INTEREST RATES AND DERIVATIVES

• IR Swaps, Caps/Floors, Swaptions, CDS

• Bond Futures, IR Futures, and Options

• CDX, TRS, FX Forwards, Eurodollars

• Listed equity options on single-name stocks, ETFs and Index Futures

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

Barclays Capital POINT Security/Instrument Coverage

INDICES

• Access major indices and benchmarks

• Benchmark portfolios directly to Barclays Capital Indices

• Upload or create custom indices for benchmarking and analysis

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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 portfolio’s management structure

• Choose market value or risk-based weights to measure exposure to currencies or sectors

• Account for P&L gained from intra-day transactions Source: Barclays Capital

Source: Barclays Capital

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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

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

Source: Barclays Capital

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115

Quick reference for featured Benchmark Indices Benchmark Index Page

Alternative Weighting Schemes: Float Adjusted 35

Alternative Weighting Schemes: GDP Weighted 36

Alternative Weighting Schemes: Issuer Capped 34

Asia-Pacific Aggregate Bond Index 21

Benchmarks for LDI Strategies 33

Emerging Markets Bond Indices 26

Euro & Sterling ABS Indices 28

Floating-Rate (FRN) Bond Indices 29

Global Aggregate Bond Index 17

Global Treasury Bond Index 24

High Yield Bond Indices 25

Japanese Aggregate Bond Index 22

Municipal Bond Index 30

Pan European Aggregate Bond Index 19

Sterling Aggregate Bond Index 20

U.S. Aggregate Bond Index 18

U.S. Credit Bond Index 31

U.S. Mortgage Backed Securities (MBS) Index 32

Universal Bond Indices 27

World Government Inflation-Linked Bond Index 23

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BARCLAYS CAPITAL INDICES

116

Quick reference for featured Investable Indices Investable Index Page Investable Index Page

Adaptive Trend [FX] 74 INSPIRE: Expected inflation [Inflation] 60

AEM: Advanced Emerging Markets [Equities] 89 IRFix Swaps [Rates] 50

AIMS: Outperforming TIPS [Inflation] 61 KRW Rates Term Premium [EM] 104

Asia and EEMEA Swaps [EM] 102 LBAR/SBAR: Tracking hedge fund returns [Index Replication] 109

ASTRO: Algorithmic Short Term ReversiON [Equities] 91 Liquid Basket [FX] 67

Atlantic Exceed: Money-market term premium [Rates] 54 Local Currency Bond Index [EM] 100

Backwardation [Commodities] 83 Momentum Alpha [Commodities] 80

Backwardation Long Short [Commodities] 84 Multi-Strategy [Commodities] 81

Barclays Capital Commodities Index (BCI) [Commodities] 77 Navigator: Trend-capturing strategy [Equities] 93

BLSC: Long-Short Credit [Credit] 65 NEMO: Spread trend-following [Credit] 64

Bond Futures [Rates] 49 PRISM: Combining rates alpha strategies [Rates] 57

Borrowing Units [FX] 68 Pure Beta Series-2 [Commodities] 79

BPX: Swaption Volatility [Rates] 52 Q-BES: Earnings surprise [Equities] 96

CEEMEA Sector Indices [Equities] 87 Q-GSP: Growth stock picking [Equities] 94

Chips: Thematic access to quality stocks [Equities] 90 Q-MA: Merger Arbitrage [Equities] 97

ComBATS 6: Market neutral multi-commodity alpha strategy [Commodities] 85 Q-True Value: Value stocks [Equities] 95

CPCI: Commodity Producers Currency Index [FX] 70 RBI®: Replicating Bond Index baskets [Index Replication] 107

Credit Beta [Credit] 63 REMIX: Tracking MBS [Index Replication] 108

CRYSTAL: EURO-USD spread [Rates] 53 SGD Exceed: Front end alpha extraction [EM] 105

E7 [Equities] 88 Sovereign Bond Index [EM] 99

ICI: Intelligent Carry Index [FX] 72 Value Convergence [FX] 73

Inflation Swaps [Inflation] 59 Voyager: Absolute commodity returns [Commodities] 82

EMTIL: Tradable Inflation Linked Index [EM] 101 Switch: Combination of FX stategies [FX] 75

Global Target Exceed: Money-market term premium [Rates] 55 US Treasury Yield Curve Slope [Rates] 51

Global Carbon [Commodities] 78 TrendStar+: Swap curve slope [Rates] 56

GEMS: Local currency money market exposure [EM] 103 Trade Weighted US Dollar [FX] 69

FX Volatility [FX] 71 TOM™: Turn-Of-the-Month Index [Equities] 92

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 hypo-thetical back-testing.

Source: Barclays Capital

Page 119: Barclays Capital Indices

BARCLAYS CAPITAL INDICES

Contacts

Index, Portfolio and Risk Solutions Waqas Samad Nicholas Gendron Donal Creed Head of IPRS Index Licensing Index Production +44 (0) 20 313 42104 [email protected]

+1 212 526 6758 [email protected]

+1 212 526 9424 [email protected]

New York London Singapore Tokyo

+1 212 526 7400 [email protected]

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Benchmark Indices

Global US Europe Asia

Brian Upbin, CFA, CAIA Sherwood Kuo, CFA Anand Venkataraman Norman Tweeboom +1 212 526 6981 [email protected]

+1 212 526 2490 [email protected]

+44 (0) 20 7773 0852 [email protected]

+65 6308 3870 [email protected]

Scott Harman Tadashi Tago

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POINT® US Europe Asia Paul Salerno Lee Phillips Norman Tweeboom [email protected] [email protected] [email protected] +1 212 526 9779 +44 (0) 20 7773 3473 +65 6308 3870

Investable Indices Global US Europe Asia Anthony Lazanas Graham Rennison Jose Mazoy Rahul Sharma +1 212 526 3127 [email protected]

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+44 (0) 20 3134 0998 [email protected]

+65 6308 3982 [email protected]

Zarvan Khambatta, CFA John Williams

+1 212 526 2715 [email protected]

+44 (0) 20 7773 2419 [email protected]

Page 120: Barclays Capital Indices

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