Indices Brochure

INDEX, PORTFOLIO AND RISK SOLUTIONS
February 2011
BARCLAYS CAPITAL INDICES

BRINGING CLARITY TO THE INVESTMENT PROCESS
Contents
Index, Portfolio and Risk Solutions Barclays Capital Benchmark Indices Overview of Flagship Benchmark Indices Barclays Capital Investable Indices Overview of Flagship Investable Indices Overview of Barclays Capital POINT Quick reference for featured Benchmark Indices Quick reference for featured Investable Indices Contacts 1 7 16 37 47 110 115 116 Inside Back Cover
Barclays Capital Index, Portfolio and Risk Solutions (IPRS) is a leading provider of indices and portfolio analytics. Our capabilities span benchmark and investable indices, portfolio analytics, risk and attribution models, and portfolio construction tools.
Barclays Capital Research Index, Portfolio and Risk Solutions (IPRS) Benchmark & Investable Indices Portfolio Modeling & POINT
Credit Magazine Americas Awards
Credit Magazine European Awards
All-America Fixed Income Research Poll
Best Index Provider

for the second consecutive yea
Best Index Provider

for the second consecutive year
#1 Bond Market Indexes

for 14 consecutive years
November 2010
July 2010
September 2010
Barclays Capital IPRS Products & Services

BENCHMARK INDEX SOLUTIONS
Market Leading Fixed Income and Inflation Indices Liquid Benchmark Development Benchmark Index Pricing and Valuations Customized Benchmark Solutions
PORTFOLIO & INDEX ANALYSIS TOOLS (POINT)

POINT platform for Multi-Asset Portfolio and Index Analysis Desktop portal for delivering Barclays Capital valuation models and research content Security Level Index Returns and Advanced Analytics
INVESTABLE INDEX PRODUCTS & SOLUTIONS

Index Sponsorship and Calculation of Rules-based Index Products Index Replication Strategies Risk Access Indices/Enhanced Beta/ Alternative Beta Indices Efficient access to established investment strategies Alpha Generating Strategy Indices Custom Investable Index Strategies & Solutions
INDEX USERS Asset Managers Insurance Companies Pension Funds/Plan Sponsors Commercial Banks/Trust Banks Central Banks Sovereign Wealth Funds Hedge Funds ETF Providers Investment Consultants Private Wealth/Retail Investors
PORTFOLIO PERFORMANCE & RISK

Multi-Asset Portfolio Performance Attribution Security Level Risk Analytics and Valuations Tracking Error Estimation & Breakdown Portfolio and Index Tail Risk Estimation
INDEX SPONSOR FOR INDEXLINKED PRODUCTS

Exchange Traded Funds ETNs Structured Notes Index Linked Options Total Return Swaps Index Rebalancing Trades Index Linked Futures Contracts
PORTFOLIO STRUCTURING SOLUTIONS RESEARCH & ADVISORY

Benchmark Selection Original research on investment strategies Client Portfolio Analysis & Advisory Services Research Publications & Topical Studies Portfolio vs. Index Structural Comparisons & Analysis Flexible Benchmark Replication Portfolio Optimization with Constraints FX Hedging & Overlays Optimal Hedge Construction
What is an index? An index acts as a bridge connecting the demands of an investor with the capabilities of a manager
Investor
INDEX
Market Access
Investment goal Constraints
Rules-based Transparency
Trading expertise Risk management
The New Frontier of Index Products: From Beta to Alpha

Index products have evolved beyond traditional benchmarks of broad market performance. Investors now use indices to efficiently measure, isolate, and gain access to beta, enhanced beta, and alpha through rigorous and transparent rules-based index products.
Broad Market Benchmark Indices
Access Products for markets without liquid benchmarks
Common investment strategies with established performance patterns
Beta Replication Products Alternative Beta
Active strategies with attractive risk/return
Overview of Barclays Capital Benchmark Indices

A Full Spectrum of Indices Benchmark Product Coverage
Aggregate (Broad market IG) Global Aggregate U.S. Aggregate Sterling Aggregate Euro Aggregate Asia Pacific Aggregate Inflation-Linked World Govt US TIPS EM Govt High Yield Global HY Pan-Euro HY US HY Emerging Markets Hard Currency EM Local Currency EM Universal (IG + HY) Multiverse/Global US Universal Inflation Linked Floating-Rate Note IG Corp HY Corp ABS (USD/EUR/GBP) Municipals Global Treasury/Govt CMBS, ABS Convertibles HY Loans Nominal & Inflation Swaps Liquid Benchmarks Float Adjusted Indices GDP Weighted Indices
Timeline: Major Index Launches

1973 U.S. Government; U.S. Corporate 1979 U.S. Government/Corporate (since renamed U.S. Government/Credit) (history to 1973) 1980 Municipal Bond Index 1986 U.S. Aggregate (1976); U.S. Mortgage Backed Securities (1976); 1992 U.S. Corporate High-Yield (1983); Eurobond (1987); Global Treasury (1987); U.S. Asset Backed Securities 1993 U.S. Emerging Markets 1996 U.S. Private Placement 1997 Inflation-Linked; US CMBS 1998 Euro Aggregate; 144A Investment-Grade Corporate; Euro-Government 1999 U.S. Universal (1990); Global Aggregate (1990); Pan-European Aggregate; Euro High Yield; Global High Yield 2000 Asian-Pacific Aggregate 2001 Multiverse; Global Credit; Global Securitized (2000); U.S. Swaps (1992); Global Capital Securities (2000); Pan-Euro Emerging Markets; Global Emerging Markets 2002 Pan-Euro Universal (2001); Euro, Sterling, & Yen Swaps (1999); Danish MBS; Canadian Aggregate; Issuer-Constrained Indices 2003 U.S. Convertible Bond; U.S. Floating-Rate Note; Euro Floating-Rate Note 2004 China Aggregate; Euro Floating-Rate ABS 2005 U.S. Floating-Rate ABS; U.S. Hybrid Adjustable-Rate Mortgage 2006 U.S. High-Yield Loan; U.S. High-Yield Floating-Rate Note ;Inflation-Linked Swaps 2007 EM Inflation-linked; CDX/iTraxx Total Returns 2008 Benchmark Indices rebranded as Barclays Capital 2009 GDP-Weighted Indices; Aggregate Float Adjusted Indices; 2010 Local EM, Tradable EM, Indices Sterling FRN, Sterling Aggregate 100, EMEA Convertibles, Pan-Euro ABS. 2011 Asia Convertibles, Global Convertibles, CMBS 2.0
Broad Market Fixed Income and Inflation Benchmarks Beta replication
Enhanced access to established beta
Alternative Beta
Product coverage: More than 70,000 securities, $32.6trn+, 79 countries, 35 local currency debt markets with more than 40,000 indices published daily
Customized Index Solutions/Advisory Services

Benchmark Selection and Design Index Customization: Liability-driven Indices, Float-
adjusted Indices, Alternative Weight Indices, Bespoke Client Indices

Index Replication and Portfolio Rebalancing Portfolio Risk and Performance Analysis: Hedging
Strategies and Optimization
Barclays Capital Suite of Investable Indices

A Full Spectrum of Indices Barclays Capital Index Products
Separate index sponsor - Compliance boundaries Rules-based tradable indices Clients: ranging from retail to the largest institutions Reputation for transparency, robustness, and research Tailored/custom investment strategies Enhanced access to established beta
Comprehensive Coverage
Asset classes
Commodities Credit Equities Emerging Markets Foreign Exchange Rates/Inflation
Broad market fixed income and inflation benchmarks Beta replication
Alternative Beta
Extensive Resources
Centralized across all asset classes
Common Investment strategies

Fundamental Enhanced Carry Trend Following Relative Value Momentum Macro Thematic
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
Barclays Capital Benchmark Indices
BENCHMARK INDICES
Why investors use Barclays Capital Benchmark Indices

Barclays Capital Indices are an integral part of the active and passive global portfolio management process. Global investors evaluate performance against our benchmarks and use index data to measure broad-market and sector-specific returns and risk characteristics and track security-level pricing data and analytics on more than 70,000 index-eligible securities.
The Benchmark for Fixed Income & Inflation Investors
Experience & Track Record: Publishing total return bond market indices since 1973 Market Share Leaders: Over $5trn in assets benchmarked against Barclays Capital Indices globally Awards and Recognitions: Voted No.1 Bond Market Index provider in the US and Europe by Institutional Investor
Index and Portfolio Solutions at Each Step of the Portfolio Management Process
Skilled portfolio management extends well beyond benchmark selection and analysis. Users of Barclays Capital benchmark indices benefit from the expertise, commitment, and full product/service offering of the Index, Portfolio, and Risk Solutions group of Barclays Capital. The IPRS team offers comprehensive portfolio management solutions for each step of the active/passive portfolio management process for a broad array of investor types. Dedicated teams in New York, London, Tokyo, and Singapore
Broad Product Coverage and History of Innovation

Broad coverage of indices spanning global and local debt markets, investment grade and high yield bonds, fixed- and floating-rate debt, nominal and inflation-linked securities, and the taxable and tax-exempt markets. Ongoing development of new benchmark index products and customization options for our index users
Investment Professionals Using Barclays Capital Benchmark Indices

Portfolio Managers Investment Officers Asset Allocators Performance Analysts Risk Managers Research Analysts Trading Marketing & Sales Investor Relations Investment Consultants Structuring Pricing Analysts Operations & Market Data
Robust and Objective Index Methodology

Transparent rules allow index users to fully understand the criteria for index eligibility and determine and expect what comprises each benchmark
BENCHMARK INDICES
Overview of Benchmark Index Methodology and Construction

General Principles and Index Conventions
Rules Based Barclays Capital Indices are designed to be robust and objective in their measurement of bond market performance. Total Return Calculations Barclays Capital Bond Indices measure index and security level total returns, which include:
Price Return: Capital appreciation/depreciation derived from

underlying security bond price changes Coupon Return: Returns derived from the interest payments accrued and/or received during the return period Paydown Return: Returns related to scheduled and unscheduled payments of principal Currency Return: Returns (hedged or unhedged) derived from converting local currency security returns to a different base reporting currency Market Value Weighting Published returns and statistics are market value weighted, designed to measure the relative weights of outstanding securities in the investment choice set. While market value weighting is standard, Barclays Capital offers many index options using alternative weighting schemes
To be index eligible, a security must meet all published eligibility

criteria. This allows index users not only to understand their benchmarks current composition, but also to expect index composition changes based on market dynamics and issuance patterns.
This ensures that the index is representative of the investable

universe and transparent to index users.
Robust index governance procedures are in place to periodically

review index rules and eligibility criteria. Monthly Rebalancing
Indices are rebalanced on a monthly basis. This offers intra-month

stability in index composition while still reflecting structural changes in the investment universe in a timely manner. If a security meets inclusion rules at the start of the month, it will stay in the index until month-end (when index is next reset).
Mechanics of Monthly Benchmark Index Rebalancing Returns Universe

Static Universe set at beginning of month that remains fixed until next index rebalancing date Used to report index performance Monthly rebalance avoids having to hit moving target
Statistics Universe Backward

Returns Universe Dynamic Universe changes daily Includes bonds that have been newly issued during the month or upgraded Used to forecast next months returns universe Statistics universe as of the next index rebalancing date becomes next months returns universe
9
Projected Universe
Forward
BENCHMARK INDICES
Index Customization
Barclays Capital recognizes that no single benchmark design is universal or appropriate for all investors. Our goal is to offer a broad and evolving suite of index products from which investors are able to select or customize the most appropriate benchmark for their portfolio needs. The IPRS team works with clients in the design, methodology, back-testing, selection, and documentation of bespoke benchmark indices for their portfolios with rapid turnaround time. Barclays Capital publishes several thousand bespoke indices daily. Major types of custom indices include:
Custom Index Category
Enhanced Constraint Indices Composite Indices
Description
Applies a more or less stringent set of constraints to an existing index Investors assign their own weights to sectors or other index subcomponents within an overall index These indices can be created to match an investors targeted portfolio allocation Indices that cap issuer exposure to a fixed percentage These indices often mirror issuer concentration limits in an investors portfolio guideline Many different options exist for applying issuer caps and redistributing excess market value to other issuers Indices that choose largest and most recently issued bonds from a given issuer Indices designed to match a specific investors liability stream or future cash flow obligations Often built using swaps indices or strips Indices that use other rules-based weighting schemes instead of market value weights

Examples
US Aggregate Ex Baa Global High Yield Ex Tobacco Ex Gaming 50% US Treasury, 25% MBS 25% Corporates 50% Pan Euro Agg 50% Asia Pac Agg
Issuer-Constrained Indices
Pan Euro HY: BB 3% issuer capped, Single-B 2% Issuer capped, Caa and Below 1% Issuer Capped US HY 1.5% Issuer Capped Ex Financials US HY VLI Index An index of zero coupon nominal swaps with weights matching the cash flows of a specific liability stream Global Treasury GDP Weighted Index
Very Liquid Indices Liability Driven Indices
Alternative Weight Indices

Source: Barclays Capital
BENCHMARK INDICES
10
Replicating Returns of Fixed Income Indices

The Spectrum of Index Products IPRS Services for Index Replication The Barclays Capital Index, Portfolio, and Risk Solutions (IPRS) team offers tools and advisory services for clients seeking to passively replicate fixed income benchmarks with cash bonds and/ or isolate fixed income beta through other strategies and products, so it may be repackaged in new innovative ways (i.e., portable alpha strategies). Barclays Capital also licenses its indices to third parties for use in index replication products such as ETFs. There are various index replication techniques, each with their own advantages and limitations. Some of the more common strategies/products include: Strategy
Cash Bond Portfolio
Broad market fixed income and inflation benchmarks Beta Replication Enhanced access to established beta
Pros
Low tracking error

Cons
Uses cash Regular rebalancing Requires market knowledge Counterparty risk; however, this can be mitigated by ISDA/CSA agreements Limited beta choices Leverage Counterparty risk Potential for large tracking error over short periods
Alternative Beta
Total Return Swaps
No tracking error to the underlying index Low maintenance, flexibility Provides unfunded exposure, leaving cash available for other purposes, e.g., for alpha strategies Flexible, transparent Low maintenance Good tracking with underlying index over time Provides unfunded exposure, leaving cash available for other purposes, e.g., for alpha strategies Improved liquidity relative to mutual funds Low maintenance Transparent holdings when ETF uses cash replication
Derivatives Replication with an RBITM Swap
Exchange Traded Products (ETFs/ETNs)
Potential for tracking error, depending on replication technique used Counterparty risk if ETF uses swap based index replication
BENCHMARK INDICES
11
Accessing Index Data Using Barclays Capital Live

Barclays Capital Live is a web-based portal for clients to access index data, analytic tools, research, trading, risk management, and reporting systems through a single site.
The IPRS website on Barclays Capital Live (keyword: indices) offers: Index Constituents

Index Returns and Statistics in multiple base currencies on most published indices with point-in-time history and daily data available back to index inception Time Series data exportable to Excel Returns Calculator that calculates index returns over any time horizon Index Research and Publications Index Constituents (premium access required) Market Structure Reports that segment standard indices by attributes such as sector, maturity, issuer, credit quality, duration, and currency.
Benchmark Index Map
Index Charts
Index Time Series
Source: Barclays Capital Live
BENCHMARK INDICES
12
The Barclays Capital Index Website

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

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

POINT is the most robust and flexible platform to access, navigate, and analyze Barclays Capital Indices: Portfolio versus benchmark analysis Historical index constituents Flexible and historical market structure reporting Index dynamics and turnover analysis Custom index creation (rules modification, issuer capped, composites) and backtesting For more information on POINT, see the POINT overview in the final section of this guide. Portfolio versus Benchmark Analysis Market Structure Reporting
Index Dynamics & Turnover Analysis
BENCHMARK INDICES
15
Overview of Flagship Benchmark Indices
BENCHMARK INDICES
16
Global Aggregate Bond Index

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

Sector
Treasury Gov-Related Corporate MBS ABS CMBS Covered Total
Total
49.2% 15.2% 16.4% 13.9% 0.3% 1.0% 4.1% 100%
USD
10.3% 6.3% 8.0% 13.9% 0.1% 0.9% 0.1% 39.7%
EUR
16.6% 4.6% 5.5% 0.0% 0.1% 0.0% 3.5% 30.3%
GBP
3.3% 0.7% 1.3% 0.0% 0.1% 0.0% 0.0% 5.5%
JPY
14.7% 1.9% 1.0% 0.0% 0.0% 0.0% 0.0% 17.6%
Other
4.3% 1.6% 0.5% 0.0% 0.0% 0.0% 0.5% 6.9%
Global investors are increasingly selecting this flagship benchmark for their
portfolios over multi-currency government/Treasury-only indices that do not include spread sectors.
The Global Aggregate Index contains three major components: the U.S. Aggregate Index (USD 300mn), the Pan-European Aggregate (EUR 300mn), and the Asian-Pacific Aggregate Index (JPY 35bn). Index
The Global Aggregate Index also includes Global Treasury, Eurodollar

(USD 300mn), Euro-Yen (JPY 35bn), Canadian (USD 300mn equivalent), and 144A (USD 300mn) index-eligible securities not already in the three regional aggregate indices.
Note: Effective Date: Oct. 31, 2009
Key Rules
USD 300mn, EUR 300mn, GBP 200mn, JPY 35bn (or regional equivalent) minimum outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in one of 23 eligible currencies Fully taxable, publicly issued in global/regional markets
Inception January 1, 1990 Currency Denomination Multi Bloomberg ALLX <LEGA> <GO>
Index Family Structure

Global Aggregate
US Agg 300MM
US Treasury US Govt-Rel US Corporate US Securitized
Pan Euro Agg

Euro Agg Sterling Agg Other PE
Asia-Pac Agg
Japan Agg Non-Japan
Other
Global Tsy Eurodollar Euro-Yen CAD Agg 144A
BENCHMARK INDICES
17
U.S. Aggregate Bond Index

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

Sector
Treasury Govt-Related Corporate MBS CMBS ABS Total
Total
26.4% 13.5% 18.8% 37.6% 3.3% 0.4% 100%
AAA
26.4% 11.1% 0.1% 37.6% 2.8% 0.4% 78.3%
AA
0.0% 0.8% 2.9% 0.0% 0.1% 0.0% 3.9%
A
0.0% 0.6% 8.8% 0.0% 0.3% 0.0% 9.7%
BAA
0.0% 0.9% 7.0% 0.0% 0.1% 0.0% 8.1%
The flagship Barclays Capital U.S. Aggregate Bond Index and its sub-indices
are the most widely used U.S. fixed income benchmark family. Key subindices include the U.S. Intermediate Aggregate, U.S. Government/Credit, U.S. Government, U.S. Credit, and U.S. MBS.
Index replication options include exchange traded funds (ETFs), total return
swaps (TRS), and derivatives replications with an RBI swap
The U.S. Aggregate is also a component of the multi-currency Global

Aggregate Index and the U.S. Universal Index that includes HY and EM debt
Key Rules
$250mn minimum amount outstanding Rated IG by middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in USD SEC-registered or Rule 144A with registration rights Fully taxable
Inception January 1, 1976 Currency Denomination USD Bloomberg ALLX <LBUS> <GO>
Source: Barclays Capital U.S. Government

U.S. Aggregate
U.S. Credit
U.S. Securitized
U.S. Treasury U.S. Agency
U.S. Corporate
Sovereign, Local Authority, Supranational, Non-U.S. Agency
U.S. MBS U.S. CMBS U.S. ABS
BENCHMARK INDICES
18
Pan European Aggregate Bond Index

Overview
The Pan-European Aggregate Index tracks fixed-rate, investment-grade
securities issued in the following European currencies: Euro, British pounds, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, Slovakian koruna, and Swiss franc*.
AAA
37.1% 9.3% 0.4% 0.3% 0.1% 10.0% 57.1%
Total
56.3% 14.3% 18.2% 0.5% 0.1% 10.6% 100%

Sector
Treasury Gov-Related Corporate ABS CMBS Covered Total
Source: Barclays Capital.
AA
15.3% 3.0% 4.5% 0.1% 0.0% 0.6% 23.4%
A
3.6% 1.5% 9.0% 0.1% 0.0% 0.1% 14.4%
BAA
0.3% 0.6% 4.3% 0.1% 0.0% 0.0% 5.2%
Subindices, such as the Euro Aggregate and the Sterling Aggregate, are
widely used benchmarks in their respective regions.
Other Pan Euro Aggregate subindices include the Danish Krone Aggregate,
Swedish Krona Aggregate, Norwegian Krone Aggregate, Swiss Franc**, and Central European Indices.
The Pan-European Aggregate Index was launched on January 1, 1999.
Key Rules
EUR 300mn (or local equivalent)/GBP 200mn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in EUR, GBP, CHF, NOK, DKK, SEK, CZK, HUF, PLN, SKK Publicly issued in Eurobond and index-member domestic markets
Inception January 1, 1999 Currency Denomination Multi Bloomberg ALLX <LP06> <GO>

Pan Euro Aggregate
Euro Aggregate
Euro Treasury Euro Gov-Related Euro Corporate Euro Securitized
Sterling Aggregate
UK Gilt UK Non-Gilt
Others
Swedish Agg Danish Agg Norwegian Agg Swiss Franc* Central Europe
Note: *Swiss franc will be added as of January 1, 2010. ** The existing Swiss Franc Aggregate will not be included in its entirety. Source: Barclays Capital
BENCHMARK INDICES
19
Sterling Aggregate Bond Index

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

Sector
Treasury Gov-Related Corporate ABS CMBS Covered Total
Total
60.4% 13.2% 23.4% 1.9% 0.9% 0.4% 100%
AAA
60.4% 11.8% 0.3% 0.5% 0.4% 0.4% 73.8%
AA
0.0% 0.7% 5.5% 0.3% 0.2% 0.0% 6.7%
A
0.0% 0.4% 11.6% 0.6% 0.2% 0.0% 12.8%
BAA
0.0% 0.3% 5.9% 0.5% 0.1% 0.0% 6.7%
The index is a subset of the Global Aggregate and the Pan European
Aggregate in its entirety.
The Sterling Aggregate Index was launched on January 1, 1999. A version of the Sterling Aggregate with a lower minimum issue size of
GBP 100mn was launched in December 2009.
Barclays Capital also publishes GBP benchmarks for High Yield, FloatingRate Notes, Asset-backed Securities (fixed and floating), Linkers, Swaps, Inflation Swaps, and Emerging Markets.
Key Rules
GBP 200mn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in GBP Issued in domestic UK or Eurobond market
UK Gov-Related UK Corporate

Sterling Aggregate
UK Gilts
UK Non-Gilts
Inception January 1, 1999
Currency Denomination GBP
Bloomberg ALLX <LC58> <GO>

UK Securitized
BENCHMARK INDICES
20
Asia-Pacific Aggregate Bond Index

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

Sector
Treasury Gov-Related Corporate ABS Covered Total
Total
83.0% 11.6% 5.4% 0.0% 0.0% 100%
AAA
2.1% 2.3% 0.0% 0.0% 0.0% 4.4%
AA
75.2% 9.0% 3.6% 0.0% 0.0% 87.7%
A
5.7% 0.1% 1.5% 0.0% 0.0% 7.4%
BAA
0.0% 0.1% 0.2% 0.0% 0.0% 0.4%
The index is a subset of the Global Aggregate Index in its entirety. A widely used subindex in this family is the Japanese Aggregate, which only
includes bonds denominated in JPY.
The Asian-Pacific Aggregate Index was launched on July 1, 2000.
Key Rules
JPY 35bn (or local equivalent) minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in JPY, AUD, HKD, KRW, MYR, NZD, SGD, THB, or TWD Fully taxable, publicly issued in global/regional markets
Inception July 1, 2000 Currency Denomination Multi Bloomberg ALLX <LAPC> <GO>

Asia-Pac Aggregate
Non-Japan
Australian Agg Other Currencies HKD, KRW, MYR, NZD, SGD, THB, TWD
Japanese Agg
JPY Treasury JPY Gov-Related JPY Corporate JPY Securitized
BENCHMARK INDICES
21
Japanese Aggregate Bond Index

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

Sector
Treasury Gov-Related Corporate ABS Total
AAA
0.0% 0.2% 0.0% 0.0% 0.2%
AA
83.8% 10.2% 3.8% 0.0% 97.8%
A
0.0% 0.1% 1.6% 0.0% 1.7%
BAA
0.0% 0.0% 0.3% 0.0% 0.3%
Total
83.8% 10.5% 5.7% 0.1% 100%
The index is a subset of the Asian-Pacific Aggregate and the Global

Aggregate Indices. The Japanese Aggregate is the largest component of the Asian-Pacific Aggregate by market value (87.6% as of 10/31/09).
The Japanese Aggregate Index was launched on July 1, 2000.
Note Effective Date: Oct. 31, 2009
Key Rules
JPY 35bn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step up coupons Denominated in JPY Fully taxable, publicly issued in global/regional markets
JPY Gov-Related JPY Corporate

Japanese Aggregate
JGBs
Other Sectors
Inception July 1, 2000
Currency Denomination JPY
Bloomberg ALLX <LG24> <GO>

JPY Securitized
BENCHMARK INDICES
22
World Government Inflation-Linked Bond Index

Overview
The Barclays Capital World Government Inflation-Linked Bond (WGILB)
Index measures the performance of the major government inflation-linked bond markets.
Australia 0.4%
U.S. 37.8% Sweden 2.5%
Country Breakdown
Countries include the UK, Australia, Canada, Sweden, the US, France, Italy,
Japan, and Germany. Greece exited the index on December 31, 2009, but remains eligible for the Universal Government Inflation-Linked Bond Index.
Canada 2.8%
Barclays Capital is a world-leader in inflation-linked products and is

recognized as a key market-maker in global inflation-linked securities, a top-tier lead manager of issuance and a major innovator in this asset class.
Euro-zone 28.2% Japan 5.4%
U.K. 22.9%
Key Rules
AUD 700mn, CAD 600mn, EUR 500mn, JPY 50bn, SEK 4bn, GBP 300mn, USD 500mn minimum issue size Currency rating of A3/A- for G7 and euro-zone markets, and Aa3/AA otherwise, based on lower of S&P and Moodys rating At least 1 year until final maturity Fixed-rate or zero notional coupon Bonds must be capital-indexed and linked to a commonly used domestic inflation index. In the Eurozone, domestic inflation indices and the EMU HICP are eligible
Inception December 31, 1996 Currency Denomination Multi Bloomberg <BCIX> <GO>

World Government Inflation-Linked Index
U.S.
Eurozone
U.K.
France
Japan
Italy
Sweden
Germany
Canada Australia Source: Barclays Capital
BENCHMARK INDICES
23
Global Treasury Bond Index

Overview
The Global Treasury Index tracks fixed-rate local currency sovereign debt of
investment grade countries
Country Breakdown
Country
France Germany Italy Japan United Kingdom United States Other Total
Total
6.6% 7.1% 8.1% 29.8% 6.7% 20.9% 20.8% 100%
Intermediate
5.0% 5.7% 5.5% 23.5% 3.5% 17.8% 16.6% 77.6%
Long
1.6% 1.4% 2.6% 6.3% 3.2% 3.1% 4.2% 22.4%
As of October 2009, the index represents the Treasury sector of the Global
Aggregate Index and contains issues from 36 countries denominated in 21 currencies.
The three major components of this index are the U.S. Treasury Index, the
Pan-European Treasury Index, and the Asian-Pacific Treasury Index, in addition to Canadian, Chilean, Mexican, and South African government bonds.
Key Rules
USD 300mn, EUR 300mn, GBP 200mn, 35bn JPY minimum amount outstanding Countries must have an investment grade sovereign rating using the middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step up coupons Fully taxable, publicly issued in the global and regional markets

Global Treasury Currencies
Americas EMEA CAD CHF* GBP Asia Pacific AUD NZD CLP CZK NOK HKD SGD MXN DKK PLN JPY TWD USD EUR SKK KRW THB HUF ZAR MYR
Currency Denomination Multi
Bloomberg ALLX <LGTR> <GO>

Note: *As of January 1, 2009
BENCHMARK INDICES
24
High Yield Bond Indices

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

Sector
Govt-Related Financial Industrial Utility CMBS Total
Total
17.6% 12.3% 62.9% 6.0% 1.2% 100%
BA
11.7% 5.0% 25.7% 2.6% 0.7% 45.7%
B
5.2% 3.1% 20.6% 2.5% 0.3% 31.7%
CAA
0.1% 1.0% 14.8% 0.8% 0.1% 16.8%
CA-NR
0.6% 3.2% 1.8% 0.1% 0.1% 5.8%
The Global High Yield Index provides a broad-based measure of the global
high yield fixed income markets with eligible bonds denominated in USD, EUR, and GBP, as of October 2009.
Issuer constrained high yield bond indices (such as the US HY 2% Issuer

Capped Index) are a commonly used alternative weight benchmark for high yield investors.
Other high yield benchmarks include the US HY FRN Index and US HY Loan
Key Rules
Minimum amount outstanding of USD 150mn for U.S. HY securities, EUR 100mn for Pan-European HY securities, USD 500mn/EUR 500mn for Emerging Markets securities. CMBS HY Index included in its entirety Rated high yield by middle rating of Moodys, S&P and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons, U.S. EM HY may include floating-rate securities Denominated in USD, EUR, GBP, DKK, NOK
Inception January 1, 1990 Currency Denomination Multi Bloomberg ALLX <LG30> <GO>

Global High Yield
Pan-European High-Yield Pan-European Emerging Markets High-Yield
U.S. Corporate High-Yield U.S. Emerging Markets High-Yield U.S. CMBS High-Yield
BENCHMARK INDICES
25
Emerging Markets Bond Indices

Overview
Barclays Capital provides several families of emerging market debt indices
denominated in external and local currencies.
EM Local Currency Index Family

EM Local Currency Govt Universal
ARS BRL
MXN
The Global EM Index family comprising USD, EUR, and GBP denominated
bonds from sovereign, government-related agency, and corporate issuers from countries with a sovereign rating of Baa1/BBB+ and lower. LATAM
EM Govt Inflation Linked

ARS COL BRL
MXN
CLP PEN ILS PLN ZAR IND
CLP
COL CZK
The EM Global Inflation Linked (EMGILB) Index comprising inflation-linked

treasury debt from nine countries.
EGP HUF TRY KRW PHP
The EM Local Currency Government Index family is comprised of local

currency treasury debt from 22 countries with a sovereign rating of A1/A+ or World Bank income classification of Low, Low/Middle, or Upper/Middle.
EMEA
HRK RUB
PLN
TRY
ZAR
Asia
THB MYR
KRW
EM External Currency Index Family

EM Credit
Asia USD GCC USD Cent. Amer Sovereign Sovereign Quasi-Sov Corporate
Other EM-Related Benchmarks

EM Local Currency Govt Universal (incl China & India) EM Government Universal GDP Weighted Index (external currency + local currency govt debt) Gulf Cooperation Council (GCC) USD Credit EM Asia USD Credit EM Tradable USD Sovereign Bond Index Local currency EM swap indices (CCEMEA, Asia) EM Index debt also crosses over into broader indices such as the Aggregate, Universal, & Global HY indices
Global EM Index
US EM Index USD Pan Euro EM Index EUR GBP
Tradable USD Sov
Quasi-Sov Corporate
BENCHMARK INDICES
26
Universal Bond Indices

Overview
Universal indices are broad-based benchmarks generally used by Core Plus
managers that add high yield and/or emerging markets debt to existing Aggregate of investment grade indices.
US Universal: Sector by Quality Composition

Sector
Treasury Gov-Related Corporate MBS ABS CMBS Covered Total
HY
0.0% 1.1% 4.7% 0.0% 0.0% 0.0% 0.0% 5.8%
AAA
23.3% 11.7% 0.2% 33.1% 0.3% 2.6% 0.2% 71.3%
AA
0.0% 1.0% 3.1% 0.0% 0.0% 0.1% 0.0% 4.3%
A
0.0% 0.9% 8.7% 0.0% 0.0% 0.3% 0.0% 9.8%
BAA
0.0% 1.4% 7.3% 0.0% 0.0% 0.1% 0.0% 8.8%
Total
23.3% 16.1% 23.9% 33.1% 0.3% 3.1% 0.2% 100%
The U.S. Universal index was launched on January 1, 1999, and represents
the union of the U.S. Aggregate Index, the U.S. High Yield Corporate Index, the 144A Index, the Eurodollar Index, the U.S. Emerging Markets Index, the non-ERISA eligible portion of the Investment grade CMBS Index, and the Emerged Bonds Index.
The Pan-European Universal Index was launched on January 1, 2002, as an

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

US Universal
US Aggregate US High Yield US 144A US EM US Eurodollar
US CMBS Non-ERISA Source: Barclays Capital
Pan Euro Universal: Sector by Quality Composition

Pan Euro Universal
PE Aggregate PE High Yield PE EMG
Universal Govt I/L

World Govt I/L EM Govt I/L
Sector
Treasury Gov-Related Corporate
AAA
36.5% 9.1% 0.4% 0.3% 0.1% 9.8% 56.2%
AA
15.1% 2.9% 4.4% 0.0% 0.0% 0.6% 23.0%
A
3.6% 1.5% 8.8% 0.1% 0.0% 0.1% 14.1%
BAA
0.3% 0.7% 4.2% 0.1% 0.0% 0.0% 5.2%
HY
0.0% 0.2% 1.3% 0.0% 0.0% 0.0% 1.5%
Total
55.4% 14.3% 19.2% 0.5% 0.1% 10.4% 100%
Multiverse
Global Agg Global HY
ABS CMBS Covered Total
BENCHMARK INDICES
27
Euro & Sterling ABS Indices

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

Collateral
Whole Business RMBS Other ABS Total Floating Rate Whole Business RMBS Other ABS CMBS Total
BAA
2.3% 0.0% 0.0% 2.3% 0.2% 1.0% 0.4% 0.4% 2.0%
AAA
0.0% 3.9% 79.3% 83.2% 0.0% 61.5% 16.3% 6.1% 83.9%
AA
0.0% 0.0% 1.7% 1.7% 0.0% 6.3% 1.5% 1.8% 9.6%
A
6.3% 0.0% 6.5% 12.9% 0.0% 2.0% 1.5% 1.0% 4.5%
Total
8.6% 3.9% 87.5% 100% 0.2% 70.7% 19.8% 9.3% 100%
These indices offer a more meaningful method of accurately measuring the

credit and prepayment performance of European ABS market over simple Libor benchmarks.
In addition to the Pan-European ABS Indices, Barclays Capital also publishes

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

Sterling ABS: Collateral by Quality Composition Pan-Euro Pan Euro ABS Fixed Rate Pan Euro ABS Floating Rate
Fixed Rate
Collateral
Whole Business RMBS Other ABS CMBS Total Floating Rate Whole Business RMBS Other ABS CMBS Total
AAA
8.0% 3.0% 6.0% 14.3% 31.3% 0.0% 65.8% 1.4% 11.8% 81.7%
AA
11.3% 0.0% 0.0% 7.9% 19.2% 0.0% 3.1% 0.0% 4.3% 7.4%
A
20.9% 0.0% 0.5% 6.3% 27.8% 0.8% 1.2% 0.8% 4.0% 6.2%
BAA
16.6% 0.0% 3.0% 2.0% 21.6% 0.0% 1.1% 0.0% 3.5% 4.8%
Total
56.9% 3.0% 9.5% 30.5% 100% 0.8% 71.2% 2.2% 23.5% 100%
EUR
Euro ABS Fixed Rate Euro ABS Floating Rate
GBP
Sterling ABS Fixed Rate Sterling ABS Floating Rate
BENCHMARK INDICES
28
Floating-Rate (FRN) Bond Indices

Overview
Most Barclays Capital benchmarks include only fixed-rate securities, but
Barclays Capital offers an extensive family of benchmarks that also include corporate and asset-backed floating-rate securities.
US FRN: Sector by Quality Composition

Sector
Financial Agency Industrial Supranational Utility Local Auth Total
Total
73.1% 13.6% 9.1% 3.0% 0.7% 0.5% 100%
AAA
2.6% 11.6% 0.0% 3.0% 0.0% 0.0% 17.1%
AA
36.5% 0.8% 1.7% 0.0% 0.0% 0.5% 39.6%
A
31.9% 0.6% 5.2% 0.0% 0.5% 0.0% 38.2%
BAA
2.2% 0.6% 2.2% 0.0% 0.2% 0.0% 5.2%
The U.S. Floating-Rate Note (FRN) Index was launched on October 1, 2003.
This index is not part of any of our U.S. Aggregate Index, which is a fixed coupon index.
The Euro Floating-Rate Note (FRN) Index was launched on December 1,

2003. Similar to the U.S. FRN Index, the Euro FRN Index is not part of an existing Aggregate Index.
Sector Coverage by Currency USD

US FRN Index US High Yield FRN Index US ABS Floating Rate Index Euro FRN Index Euro ABS Floating Rate Index
Euro FRN: Sector by Quality Composition

Sector
Financial Industrial Agency Supranational Utility
AAA
0.7% 0.0% 1.6% 1.0% 0.0% 0.0% 0.1% 3.4%
AA
32.1% 0.0% 0.7% 0.0% 0.0% 0.0% 0.0% 32.7%
A
51.6% 2.5% 0.4% 0.0% 0.5% 0.0% 0.0% 55.0%
BAA
6.2% 2.1% 0.0% 0.0% 0.3% 0.1% 0.0% 8.8%
Total
90.6% 4.6% 2.7% 1.0% 0.8% 0.1% 0.1% 100%
EUR
GBP
Sterling FRN Index Sterling ABS Floating Rate Index
Sovereign Local Auth Total

BENCHMARK INDICES
29
Municipal Bond Index

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

Sector
Local GO State GO Insured Prerefunded Revenue Total
Total
10.4% 14.0% 11.6% 10.6% 53.4% 100%
AAA
2.5% 2.5% 11.6% 10.6% 3.5% 30.7%
AA
7.1% 6.0% 0.0% 0.0% 23.0% 36.1%
A
0.7% 0.8% 0.0% 0.0% 19.1% 20.6%
BAA
0.2% 4.7% 0.0% 0.0% 7.7% 12.6%
In January 1996, Barclays Capital also began publishing a non-investment

grade municipal bond index and enhanced state-specific indices for Arizona, Connecticut, Maryland, Massachusetts, Minnesota, and Ohio. These indices are published separately from the Barclays Capital Municipal Bond Index.
In 2005, Barclays Capital began publishing Managed Money Municipal

Indices and Insurance Mandate Municipal Indices.
Key Rules
$7mn minimum amount outstanding, issued as part of a transaction at least $75mn for the investment-grade Municipal Index Rated IG by middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate coupon Denominated in USD
State Breakdown
California 16.8% New York 14.9%
Texas 7.7% Florida 5.4% Massachusetts 4.4%

Others 50.8%
Inception January 31, 1980 Currency Denomination USD Bloomberg ALLX <LMBI> <GO>
BENCHMARK INDICES
30
U.S. Credit Bond Index

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

Sector
Financial Utility Industrial Govt-Related Total
Total
28.9% 9.4% 43.3% 18.4% 100%
AAA
0.0% 0.0% 0.5% 8.5% 9.0%
AA
7.8% 0.2% 4.7% 3.1% 15.8%
A
16.7% 3.5% 17.7% 2.8% 40.7%
BAA
4.4% 5.7% 20.4% 4.0% 34.5%
The U.S. Credit is also a component of the U.S. Aggregate and U.S.
Government/Credit Indices.
The U.S. Credit Index was called the U.S. Corporate Index until July 2000,
when it was renamed to reflect the indexs composition of both corporate and non-corporate issuers.
Exchange Traded Funds exist based on the U.S. Credit Index and the
following sub-indices: 1-3 Year, 1-10 Year, 10+ Year.
Key Rules
$250mn minimum amount outstanding Rated IG by middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in USD SEC-registered or Rule 144A with registration rights Fully taxable

U.S. Government/Credit
U.S. Government U.S. Treasury U.S. Agency

U.S. Corporate
U.S. Credit
Non U.S. Govt-Related
Currency Denomination USD
Bloomberg ALLX <LUCR> <GO>

BENCHMARK INDICES
31
U.S. Mortgage Backed Securities (MBS) Index

Overview
The U.S. Mortgage Backed Securities (MBS) Index covers agency
mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
FNMA
6.8% 1.5% 39.6% 2.4% 50.2%
Sector Breakdown
Sector
15 Year 20 Year 30 Year Hybrid ARM Total
FHLMC
4.9% 1.2% 26.1% 2.4% 34.6%
GNMA
0.3% 0.0% 14.7% 0.1% 15.1%
Total
12.0% 2.7% 80.5% 4.9% 100%
The MBS Index excludes non-agency (whole loan) and jumbo

securities, CMOs, buydowns, graduated-equity mortgages, interestonly (I.O.), and project loans.
On April 1, 2007, agency hybrid adjustable-rate mortgages (ARM)

pass-through securities were added to the U.S. MBS Index. Hybrid ARMs are eligible until 1 year prior to their floating coupon date.
Key Rules
Pool aggregates must have at least $250mn minimum amount outstanding Pool aggregates must have a weighted average maturity of at least 1 year. Denominated in USD SEC-Registered, fully taxable issues
MBS Generic Aggregate Decomposition

To price the Agency MBS universe, pools with similar characteristics are aggregated into generic securities based on the following factors:
Agency (GNMA, FNMA, FHLMC) Program (30-year, 15-year, 20-year, 3/1, 5/1, 7/1, 10/1) Coupon (half percent increments for fixed-rate, quarter percent increments for ARMs) Origination Year based on WALA
Currency Denomination USD
Bloomberg ALLX <LUMS> <GO>

Hybrid ARM Aggregates are then further broken down into subaggregates based on floatingrate coupon reference rate, floating-rate coupon cap structure and existence of an IO feature.
BENCHMARK INDICES
32
Benchmarks for LDI Strategies

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

One of the largest and most liquid markets (better than Treasuries in longer maturities) Track pension liability discount curves more effectively given the credit risk premium
Very little capital is required to hedge liability indices based on swaps
Traditional Approach: Aggregate, Long Government/ Credit, STRIPS Indices

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

Rolling maturity indices Tenors from 3 months to 50 years (varies by currency) Fixed maturity indices Global coverage Asia JPY, AUD, NZD, HKD, THB, TWD, SGD, KRW Americas USD, CAD, MXN EMEA GBP, CHF, DKK, NOK, SEK, CZK, HUF, PLN, SKK, ZAR
Par Swaps
Zero Coupon Nominal Swaps Zero Coupon InflationLinked Swaps

BENCHMARK INDICES
33
Alternative Weighting Schemes: Issuer Capped

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

U.S. HY2% Capped MV ($bn)
13.8 13.8 13.8 13.8 12.9 11.2 9.6 8.9 8.0 7.6
MV ($bn)
23.1 16.4 15.4 14.9 12.6 11.0 9.4 8.7 7.8 7.4
MV%
3.34% 2.37% 2.23% 2.15% 1.83% 1.59% 1.35% 1.25% 1.13% 1.08%
MV%
2.00% 2.00% 2.00% 2.00% 1.87% 1.62% 1.38% 1.28% 1.15% 1.10%
Capping Methodology
1. Set issuer concentration limit
Source: Barclays Capital Indices
Note: Effective Date: October 31, 2009
Highlighted Issuer Capped Benchmarks

2. Calculate MV in excess of the issuer cap U.S. HY- 1%, 2%, 3%, 4% capped versions 3. Allocate excess MV to other issuers in the index below the cap on a pro rata basis U.S. HY BA/B - 1%, 2%, 3%, 4% capped version U.S. Credit (IG) - 1%, 2%, 3% capped versions Pan Euro HY - 2%, 3%, 4%, 5% capped versions 4a. Index Wide or 4b. Sector Neutral Global EM Local Currency 10% country capped
BENCHMARK INDICES
34
Alternative Weighting Schemes: Float Adjusted

Overview
The Global Aggregate and U.S. Aggregate Float-adjusted Indices offer index
users new benchmarks of broad fixed-rate investment grade bond markets that excludes net holdings of U.S. Treasuries, U.S. agencies, and fixed-rate MBS pass-throughs held in Federal Reserve SOMA accounts, as well as Sterling Gilts and Japanese Yen held by the Bank of England and the Bank of Japan, respectively.
Treasury Government-Related Agency Local Authority Sovereign Supranational Corporate Securitized MBS Pass-through MBS Fixed Rate Hybrid ARMs ABS
US Agg Float Adjusted (MV%) 28.13 13.42 10.19 0.86 1.17 1.20 20.07 38.38 34.44 32.49 1.95 0.41 3.53 100
U.S. Aggregate Comparison

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

Global Aggregate and US aggregate Indices, which include agencies and MBS held in government accounts.
Float-adjusted Index Family
CMBS Total Source: Barclays Capital Indices
Global Aggregate
Global Aggregate Comparison

Global Agg (MV%) Treasury Government-Related Agency Local Authority Sovereign Supranational Corporate Securitized MBS Pass-through ABS CMBS 49.22 15.18 9.57 3.05 1.06 1.50 16.36 19.23 13.89 0.31 0.97 4.06 100 Global Agg Float Adjusted (MV%) 49.36 15.53 9.66 3.19 1.11 1.57 17.12 17.99 12.39 0.33 1.01 4.25 100 Difference 0.14 0.35 0.09 0.14 0.05 0.07 0.76 -1.25 -1.50 0.01 0.05 0.19 0 Note; Effective Date: October 31, 2009
U.S. Aggregate
Pan Euro Agg
Asia Pac Agg
U.S. Govt/Credit
Sterling Agg
Japanese Agg
U.S. MBS
Covered Total Source: Barclays Capital Indices
BENCHMARK INDICES
35
Alternative Weighting Schemes: GDP Weighted

Overview
Gross Domestic Product (GDP) weighted indices widen the choice for
investors beyond existing flagship indices which weight index eligible securities by their market value.
Other Europe UK Eurozone US EMEA EM
GDP Weighted Country Blocs
Underlying composition of a GDP weighted benchmark is the same as that

of a market value weighted index. However, instead of weighting each security by its market value contribution to the overall benchmark, fixed GDP weights are applied at either a country bloc level to each of the 10 country blocs (3 Americas; 4 EMEA; and 3 Asia blocs) or at a specific country level.
Canada
Asia EM
Japan
Latin America EM Australia/NZ
Index Family Calculation Approach

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

GDP weights by Country Bloc only Market Value weighting all countries within bloc GDP Weights by Bloc & Country 2nd layer of GDP weights by country within each Bloc; market cap weights used within each country
GDP weighted indices can be created from most standard or bespoke Barclays Capital fixed income benchmarks Global Aggregate GDP Weighted Index Global Treasury GDP Weighted Index EM Government Universal GDP Weighted Index EM Local Currency Government GDP Weighted Global Treasury Universal GDP Weighted Index Global Treasury Universal+ GDP Weighted Index Euro Treasury GDP Weighted
Construct GDP Weighted Benchmark Indices using calculated GDP country bloc or GDP country weights and rebalance monthly back to target GDP weight
BENCHMARK INDICES
36
Barclays Capital Investable Indices
INVESTABLE INDICES
37
Investable Indices Investable indices are the new market standard for accessing markets and strategies
Clear goals The index will track a strategy that is rules based, with no discretion or interference Liquidity Tradable indices reference liquid instruments with transparent pricing
Cost efficient An index may be an easier and cheaper way to gain exposure to new investment strategies
Low maintenance Active strategies incur operational burdens that can be avoided via an index
Market Access New asset classes require new infrastructure, trading relationships, and controls
INVESTABLE INDICES
38
Investable Indices Key features

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

Barclays Capital Index Website
www.barcap.com/indices
Clear investment goals and rationale established for each index
Performance Analysis
Daily external published index values on Bloomberg and Reuters

BXIICYXI Index <GO>
Fact sheets with rationale, methodology and testing results
Source: Bloomberg
INVESTABLE INDICES
40
Strategy Indices in TSP

Easy Index Availability

All Barclays Capital indices are available in the Time Series Plotter tool (keywords: TSP or PLOT) on Barclays Capital Live Daily prices of investable indices can be found alongside benchmark indices and thousands of financial and economic variables The indices are laid out in an intuitive structure based on type (beta, enhanced beta, alpha etc.), currency and returns format
INVESTABLE INDICES
41
Live returns to multi-strategy allocations

TSP: Strategy Indices
220 210 200 190 180 170 160 150 140 130 120 110 100 90
Time Series Plots
NU G
GE TT G: u s e Na A r m
e = u p o t a me = n l n &l N l u
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Key
Axis Left Left Left Left Left
Name ICI USD Index USD Excess Return RIVA Index USD Excess Return GEMS Index (USD) USD Excess Return US 10Yr Treasury Futures Index USD Excess Retur US 2yr Note future USD Excess Return
Last 163.968 110.416 213.264 181.923 124.996
Minimum 95.331 99.918 06/22/2000 12/20/2001
Maximum 200.492 07/24/2007 110.416 08/10/2010 216.635 08/04/2008 181.923 08/10/2010 125.049 08/06/2010
Mean 149.294 105.643 164.261 129.767 110.145
SD 27.269 3.243 33.816 21.594 7.215
SD Change 0.602 0.082 0.792 0.563 0.130
100.000 07/16/2001 97.505 99.151 04/11/1997 04/14/1997
Time Series Statistics
Performance Analysis

Historical performance metrics such as returns, volatilities and correlations are accessible with one click It is also easy to analyze performance over a custom sample period (e.g.: inception to date, last 1 year, custom dates)
INVESTABLE INDICES
42
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
INVESTABLE INDICES
43
Featured index families by asset class

Rates Inflation
Inflation Swaps
Credit
Credit Beta (Swaps)
FX
Liquid Basket Borrowing Units
Commodities
BCI BGCI (Carbon) Pure Beta S2 Momentum Alpha Multi Strategy Voyager Backwardation ComBATS
Equity
Equity EM Series Chips Family
EM
EM Tradable Bond EM Swaps Equity EM Series GEMS KRW Term Premium SGD Exceed
Index Replication
RBIs Bond Indices REMIX (MBS) LBAR/SBAR Hedge fund
Bond Futures IRFix Swaps Targeted Exposure VOX / BPX
INSPIRE
NEMO
Tradeweighted FX CPCI
ASTRO
TOM
CRYSTAL
AIMS
BLSC
FX Volatility Intelligent Carry (ICI) FX Value Adaptive Trend FX Switch
Navigator
Exceed
Q Series
TrendStar+
PRISM
The following sections provide one-page overviews of each of these featured indices. For a comprehensive list of investable index families see page 116.
INVESTABLE INDICES 44
Categorizing strategies
Most strategies can be categorized into one or more common themes or styles. Such categorization is typically a qualitative exercise and definitions of styles may differ by asset class. However, simple categorization can help the understanding of a strategy and indicate common characteristics. Macro-thematic Market technicals Carry Value Trend Momentum Volatility Market timing Market neutral
Strategies representing a fundamental, economic or geographical theme Strategies exploiting market flows and distortions not necessarily related to fundamentals Strategies attempting to earn a premium in compensation for taking on additional risk Strategies attempting to model the fair value of an asset and identify under- and over-pricing Strategies attempting to identify market-directional trends and position to benefit from these Strategies taking long exposure to outperforming and short exposure to underperforming assets Strategies taking exposure to or tracking market volatility measures Strategies using rules-based signals to take market-directional positions Strategies designed to exploit relative value between assets but with minimal market exposure
INVESTABLE INDICES
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Diversified systematic alpha: An example portfolio

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

290 265 240 215 190 165 140 115 90 2002 ComBATS 6 PRISM GEMS Q-BES/Q-GSP FX Switch Equal-Vol Portfolio
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Portfolio allocation approach

Universe of Barclays Capital Investable Indices
Qualitative and quantitative analysis Investor preference
Equal Volatility Weights

ComBATS 6 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 2002 GEMS FX Switch PRISM Q-BES/Q-GSP
Set of selected investable indices

Systematic allocation strategy Signal-based allocation tilts
Custom portfolio of indices with optimized risk-return characteristics

2003
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INVESTABLE INDICES
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Overview of Flagship Investable Indices
INVESTABLE INDICES
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Rates: Overview and Classification

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

Overview
Style Access Beta Featured Index US 10 YR Treasury Futures ER Bloomberg BXIIUS10 Live Date Jan 2009
Index performance
210 190 170 150 130 110 90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 US 10YR Index
The Bond Futures family of indices provide transparent access to global futures markets by replicating the price-return performance of rolling investments in front contracts in the US, Euro, Gilt, and Japanese markets. Futures prices are highly correlated with CTD bond yields and provide a means to express long or short rates views using instruments that are more liquid than underlying bonds. The Bond Futures Indices rebalance quarterly before expiry to avoid any potential market distortions around delivery.
Bond Futures Family

Coverage Exchange Futures US CBOT 2y, 5y, 10y notes and Long bond Euro EUREX Bund, Bobl, Schatz Gilt LIFFE Long Gilt JGB TSE 10y
Historical performance: As of December 31, 2010

Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Since Inception 4.21% 6.41% 0.7 9.09% -5.80% 13.98%
Last 12 Months 7.76% 4.16% 1.9 2.34% -1.05% 6.22%
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Rates: EURFix and USDFix Swap Indices

Overview
Style Access Beta Featured Index EURFix Swap 5 YR ER Bloomberg BSWRFE05 Live Date Mar 2010
Index performance
135 130 125 EURFix 5Y ER Index EURFix 2Y ER Index
The EURFix and USDFix Swap Index Family replicates the performance of investing in nominal interest rate swaps in EUR and USD. The key design feature of this family is that the excess return of each index is driven by the NPV of each underlying couponpaying swap, which is marked-to-market using transparent and publicly available EUR and USD market swap fixing rates. Each index tracks the return of a receiver nominal par coupon interest rate swap for specific tenors and on each rebalance date, the current swap is unwound and a new swap position is initiated. The indices are available in EUR and USD and for 2yr, 5yr, 10yr, 15yr, 20yr, 25yr and 30yr maturities.
120 115 110 105 100 95 90 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

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

Swap Curve Construction Pricing of underlying swaps
Sharpe ratio Index Calculation Best monthly return Worst monthly return Worst drawdown
Swap fixing rates
50
Rates: Tracking the slope of the US Treasury Yield Curve

Overview
Style Access Beta Featured Index US Treasury 2Y/10Y Yield Curve Bloomberg BXIIUSTP Live Date Dec 2009
Index performance
350 300 250 200 150 100 50 0 -50 -100 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 UST 2Y/10Y Yield Curve Index 10Y yield minus 2Y yield (RHS) 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% -1.0%
Barclays Capital US Treasury 2y/10y Yield Curve Index reflects investments in 2y and 10y futures positions, weighted to target a change in index level of 1 point per basis point increase in the 2y/10y slope of the yield curve. As such, the index level at a given point in time approximates the basis point differential between the 10y and 2y yield. The index rebalances monthly to maintain target exposures, and the underlying futures roll quarterly. This is an additive index, which starts at zero and can go negative. It does not compound and reflects unfunded investment.
Source: Bloomberg, Barclays Capital
2y/10y curve and US economic cycles, 1990-2010

Recession 3% Peak Yield Curve Slope

Statistic Avg. annual change in level Annual Std. Dev. of level changes Best monthly change Since Inception 22.3 61.0 59.0 -48.0 183.1 Last 12 Months -5.7 70.5 14.9 -16.1 86.8
2%
1%
Worst monthly change Worst drawdown change
0%
-1% 1990
1992
1994
1996
1998
2000
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Rates: Tracking swaption volatility markets with BPX

Overview
Style Featured Index Bloomberg BXIIE00B Live Date Jun 2008 EUR BPX 10Y/10Y Interest Rate Alternative Beta Volatility ER
Index performance
210 190 170 150 130 110 90 2004 EUR BPX 10Y/10Y ER Index
The BPX indices track the performance of exposure to implied basispoint volatility in swaptions markets. By investing in rolling swaption straddle positions while going short corresponding underlying annuities, the indices generate returns that are highly correlated with the return of changes in implied basis-point volatility. The BPX indices are in excess return format and are available for the EUR, GBP, and USD swaption markets. Available maturities vary from 2y/5y out to 15y/15y including most intermediate combinations.
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Correlation of 10y10y BPX return vs. Implied BP Vol

BPX Index (RHS) EUR 10y10y Implied BP Vol (scale not shown) Rolling 26wk Correlation of changes (LHS) 100% 190 170 80% 150 130 110 60% 2005 90 2006 2007 2008 2009 2010 230 210

Since Inception 10.09% 17.48% 0.6 13.10% -15.02% 33.48%
Last 12 Months 16.31% 16.19% 1.0 12.19% -3.11% 15.76%
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Rates: Trading the EURO-USD spread with CRYSTAL

Overview
Style Alpha Featured Index CRYSTAL ER Bloomberg BXIICYXI Live Date Sep 2009
Index performance
190 180 170 160 150 140 130 120 110 100 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 CRYSTAL ER Index
Monetary policy cycles in the US and in Europe have historically exhibited extended periods of synchronous and asynchronous behavior. The Barclays Capital CRYSTAL index is designed to exploit such phenomena: (1) Consistent policy mode: When CRYSTAL signals indicate a bias for European and US rates to move in the same direction, CRYSTAL will take a directional rates position. (2) Divergent policy mode: When CRYSTAL signals indicate a bias for European and US rates to move in opposing directions, CRYSTAL will take a spread position.
Consistent and Divergent policy modes

7% 6% 5% 4% 3% 2% 1% (1) Consistent Policy 2002 2003 2004 2005 2006 2007 2008 2009 2010 (2) Divergent Policy Fed Funds Target Rate ECB Main Refinancing Rate

Since Inception 4.96% 3.13% 1.6 4.47% -2.88% 6.32%
Last 12 Months 2.12% 1.69% 1.3 0.87% -0.61% 1.43%
0% 1999 2000 2001
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Rates: Exploiting term premium with Exceed

Overview
Style Alpha Featured Index Atlantic Exceed ER Bloomberg BXIIEXMA Live Date Jan 2008
Index performance
135 130 125 120 115 110 105 100 95 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Atlantic Exceed ER Index
The Barclays Capital Atlantic Exceed exploits the term premium observed in the short end of an upward-sloping yield curve by taking positions in US and Euro futures markets. The strategy is designed to perform throughout the monetary policy cycle by dynamically switching position in each of the two markets from long to short in the forward rate contracts using a money market signal. The index is constructed using the front red interest rate future contracts which relate to the 3M Libor 1yr forward rate.
Historical USD Strategy Positions

9% 8% 7% 6% 5% 4% 3% 2% 1% 0% 1990 -2 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 -1 0 1 3M USD LIBOR Allocation (RHS) 2

Since Inception 2.32% 1.77% 1.3 1.49% -1.30% 2.91%
Last 12 Months 1.08% 1.32% 0.8 0.86% -0.44% 1.19%
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Rates: Global Target Exceed

Overview
Style Alpha Featured Index Global Target Exceed ER Bloomberg BXIIEXGT Live Date May 2009
Index performance
170 160 150 140 130 120 110 100 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Global Target Exceed ER Index
The Barclays Capital Global Target Exceed Index exploits the term premium observed in the short end of an upward-sloping yield curve by taking positions in USD, EUR, GBP and JPY futures markets. The strategy is designed to perform throughout the monetary policy cycle by dynamically switching position in each of the two markets from long to short in the forward rate contracts using a money market signal and a risk-reward signal.
Forward rates tend to overestimate actual short rates

6% 5% 4% 3% 2% 1% 0% 2000 3m Euribor Forwards 3m Euribor

Since Inception 3.95% 2.59% 1.5 2.52% -1.64% 3.24%
Last 12 Months 4.86% 1.84% 2.6 1.37% -0.56% 2.23%
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Rates: Dynamic swap curve positioning -TrendStar+

Overview
Style Alpha Featured Index TrendStar+ USD ER Bloomberg BXIITSTP Live Date Feb 2009
Index performance
230 210 190 170 150 130 110 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 TrendStar+ USD ER Index
Barclays Capital TrendStar+ is a curve strategy that attempts to earn any carry and rolldown available from a durationneutral 2s10s steepener on the US swap curve. The strategy reverses to a flattener when short-term rates are expected to rise. The signal is based on the observation that the slope tends to flatten when short-term rates are rising. The short-term rate expectations are assessed using a proxy 3m OIS rate backed out from the fed fund futures strip.
Historical strategy positions - steepener or flattener

Steepener 4% 3% 2% 1% 0% -1% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Swap Curve 2s10s Slope

Since Inception 6.76% 6.08% 1.1 7.94% -6.53% 10.16%
Last 12 Months 6.92% 4.44% 1.6 1.88% -2.69% 5.41%
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Rates: PRISM - combining rates alpha strategies

Overview
Style Alpha Featured Index PRISM ER Bloomberg BXIIPMER Live Date Sep 2009
Index performance
270 250 230 PRISM ER Index
Barclays Capital PRISM is a strategy combination framework that assigns monthly weights based on an equal volatility contribution. This approach assigns lower weightings to highvol strategies. Additionally, a portfolio volatility cap reduces weightings in distressed situations in which correlations tend toward one. The PRISM index is the first application of the framework on three fundamentally motivated rates strategies: 1) Barclays Capital Atlantic Exceed - exploiting term premium in the front end of the yield curve, with a signal to go short in rising rate environments 2) Barclays Capital TrendStar+ - taking steepening or flattening positions in the 2y/10y part of the curve based on trends in short rates 3) Barclays Capital AIMS - long / short TIPS strategy that uses current and expected inflation signals to forecast flows between TIPS and nominal treasuries. The PRISM index targets a 2% risk contribution per index and a 4% portfolio risk cap.
210 190 170 150 130 110 90 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Since Inception 8.78% 4.26% 2.1 5.65% -2.10% 4.51%
Last 12 Months 5.17% 4.00% 1.3 2.24% -1.12% 4.51%
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Inflation: Overview and Classification

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Inflation Swaps INSPIRE
Access to inflation swaps in various markets Synthetic replication of inflation in Canada and Australia Long/short strategy in TIPS based on anticipated flows
AIMS
INVESTABLE INDICES INFLATION
Index
Description
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Inflation: Inflation Swaps Index Family

Overview
Style Access Beta Featured Index Inflation Swap Zero Coupon 10 YR USD ER Bloomberg BSWIZU10 Live Date Nov 2007
Index performance
105 100 95 90 85 80 2006 US 10Y Inflation Swap Index 10Y BEI Swap Rate (RHS) 140 120 100 80 60 40 20 0 -20 2007 2008 2009 2010
Monthly rebalancing zero-coupon inflation (receiving inflation) and rate swap indices in G4 and AUD for various tenors. ER indices are generated from pure swap performance based on NPV calculated using standard market conventions. TR versions assume an additional cash component earning Libor. These tradable indices can be combined to hedge or replicate liability profiles sensitive to inflation and rates. They can also be used as components in strategy index products.
Real rate Swap structure

Compounded Libor

Statistic Barclays Capital ZC interest rate swap Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Since Inception -1.37% 6.05% -0.2 3.37% -5.83% 14.21%
Last 12 Months -4.24% 6.13% -0.7 3.06% -2.73% 8.94%
Client
Fixed Breakeven
+
ZC inflation swap (IS)
Fixed Nominal Rate
=
Barclays Capital
Actual Inflation
ZC Real rate swap
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Inflation: INSPIRE Replicating expected inflation

Overview
Style Featured Index Bloomberg BXIIAII1 Live Date Feb 2009 Beta Replication AUD INSPIRE ER
Index performance
108 106 104 102 100 98 96 94 92 90 2004 0 2005 2006 2007 2008 2009 2010 1 3 2 4 INSPIRE AUD ER Index AUD Govt. Inflation-Linked >10Y Maturity BEI (RHS) 5
The AUD INSPIRE Index is designed to provide synthetic inflation protection for Australia using an optimized weighted combination of actively traded and liquid inflation swap indices from the US, UK, and EUR. The weights are obtained monthly through the proprietary INSPIRE cost constrained optimization model, which dynamically replicates a forward interest rates-based Australian inflation measure by combining inflation swap breakevens from the US, UK, and EUR. The AUD INSPIRE Index can be used to replicate expected inflation in Australia at various tenors, currently available in excess return versions of 5yr, 10yr, and 20yr maturities.

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

Find optimal linear combination of core countries' breakevens that Inflation replicate inflation measure in Australia measures and breakevens Optimised weights IM
AUD
Core Countries US, UK, EUR
INSPIRE optimisation model
AUD INSPIRE Index
Worst drawdown
BE
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Inflation: AIMS Enhancing the performance of TIPS

Overview
Style Enhanced Beta Featured Index Algorithmic Inflation Momentum Switching (AIMS) USD ER Bloomberg BXIIAIMS Live Date Mar 2008
Index performance
210 190 170 150 130 110 90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 AIMS USD ER Index
Barclays Capital AIMS seeks to enhance returns generated by a long-only portfolio of inflation securities. The strategy takes long or short monthly swap positions on the Barclays Capital US government inflation-linked bond index based on a signal measuring expectations of market flows from nominal to inflation-protected bonds. The signal is based on two factors which attempt to capture the likelihood of investors switching to inflation-protected: CPI y/y print relative to its previous value US swap 2s10s slope relative to its previous value
Swap curve steep when inflation expected to increase

3% LT B/E inflation significantly above ST B/E Swap Curve 2s10s Slope

Statistic Annual excess return Annual excess return volatility Sharpe ratio Since Inception 5.00% 4.97% 1.0 5.84% -3.47% 8.71% Last 12 Months 2.04% 4.39% 0.5 2.68% -1.75% 5.38%
2%
1%
Best monthly return Worst monthly return
0%
Worst drawdown
-1% 2002
2003
2004
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2006
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2010
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Credit: Overview and Classification

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Credit Beta (Swaps) NEMO
Access to European and US benchmark portfolio CDS Capturing trends in European iTraxx CDS spreads Steepener or flattener positions in EUR iTraxx Crossover
BLSC
INVESTABLE INDICES CREDIT
Index
Description
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Credit: Accessing liquid credit market beta

Overview
Style Access Beta Featured Index Long Credit Investment Grade CDX IG 5 YR USD TR Bloomberg BCRIU5IL Live Date Jan 2008
Index performance
125 120 115 CDX IG 5Y TR Index
The Credit Beta family of indices reflect the performance of rolling positions in on-the-run iTraxx and CDX portfolio default swaps. These investments earn regular premiums in compensation for providing payments on default of any underlyings. The iTraxx Europe and Crossover portfolios represent the 125 most liquid investment grade companies and 50 most liquid high yield companies in Europe, respectively. The CDX IG portfolio represents the 125 most liquid North American investment grade companies.
110 105 100 95 90 2003
2004
2005
2006
2007
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2009
2010
5y spreads on iTraxx and CDX portfolio default swaps

300 250 200 150 100 Series Roll CDX IG 5Y on-the-run spread iTraxx Europe 5Y on-the-run spread

Statistic Annual total return Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 2.51% 0.12% 2.40% 0.1 2.51% -2.04% 7.18% Last 12 Months 1.36% 1.17% 1.95% 0.6 0.95% -1.11% 2.12%
50 0 2004
Worst monthly return Worst drawdown

2005 2006 2007 2008 2009 2010
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Credit: Spread trend-following with NEMO

Overview
Style Featured Index Bloomberg BXIINEMO Live Date Dec 2009 Alternative Beta NEMO EUR TR
Index performance
130 125 120 115 110 105 100 95 90 2007 NEMO EUR TR Index iTRAXX EUR 5Y TR
The Barclays Capital NEMO Index tracks the total return performance of the high-frequency trend-following strategy, NEMO. The strategy takes long and short positions on the iTraxx Europe 5y CDS index contracts based on a daily signal which takes into account: Medium-term and intraday trend information Trading activity levels and transaction costs The strategy is designed to perform well in periods of high volatility when other credit investments may underperform and serves as an alternative to buying credit options.
2008
2009
2010
NEMO signal process using trend and volume data

200 190 180 170 160 150 140 130 120 110 100 01 Apr '09 06 Apr '09 09 Apr '09 16 Apr '09 22 Apr '09 27 Apr '09 30 Apr '09 06 May '09 Hourly iTraxx trading activity (Scale not shown)
Lo ng Sho rt

Statistic Since Inception 5.41% 3.28% 2.76% 1.2 2.58% -1.59% 3.90% Last 12 Months -0.47% -0.90% 1.92% -0.5 0.54% -0.99% 3.90% Annual total return Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Long / Short Protection Signal

Lo ng Sho rt
iTraxx 5y Intraday Quotes Medium term indicator Intraday Indicator
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Credit: Trading the curve through the cycle with BLSC

Overview
Style Alpha Featured Index BLSC EUR ER Bloomberg BCRIELSE Live Date Jan 2008
Index performance
112 110 108 106 104 102 100 98 96 94 2004 2005 2006 2007 2008 2009 2010 BLSC EUR ER Index
The Barclays Capital Long-Short Credit (BLSC) index reflects the performance of a quantitative strategy that takes duration neutral steepener and flattener positions on the iTraxx Crossover 5y10y index curve spread. The strategy is biased toward a positive-carry earning steepener position but uses fundamental market signals to switch to a flattener position in periods of expected higher risk. The strategy rebalances monthly to maintain duration exposure and rolls every six months to the on-the-run iTraxx Crossover contracts.
BLSC positions through the credit cycle

150 100 50 0 -50 -100 -150 -200 -250 2004 Flattener Steepener Allocation iTraxx Xover 5s10s

Since Inception 0.08% 2.90% 0.0 2.97% -3.71% 9.41%
Last 12 Months -2.30% 2.46% -0.9 1.24% -1.19% 3.44%
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2010
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FX: Overview and Classification

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Liquid Basket Borrowing Units Tradeweighted FX CPCI
Tracking most traded currencies against US Dollars Aiming to build a 0% interest rate currency Long or short USD or JPY versus trade-weighted FX basket Tracking currencies of commodity-producing countries Identifying over- and underpriced currency volatilities Long high-yielding versus lowyielding G10 currencies Identifying over, and undervalued currencies Identifying currency trends and reversion Dynamic portfolio of Carry, Trend and Value strategies
FX Volatility Intelligent Carry (ICI) FX Value Adaptive Trend FX Switch
INVESTABLE INDICES FOREIGN EXCHANGE
Index
Description
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FX: Liquid Basket

Overview
Style Beta Featured Index Liquid Basket USD ER Bloomberg Live Date BXIILIEU Oct 2010
Index performance
130 120 110 100 90 80 70 60 2000 Liquid Basket USD ER Index
The Barclays Capital Liquid Basket Index is designed to track the performance of a portfolio of weighted short positions in five of the most actively traded currencies versus the US Dollar, expressed through 1-month cash settled FX forwards. The basket is constructed based on settlement data from the Bank for International Settlements (BIS) and currently consists of five currencies: Australian Dollar (AUD), Swiss Franc (CHF), Euro (EUR), British Pound (GBP) and Japanese Yen (JPY). The weightings of these currencies reflect the relative significance of the latest trade settlement volumes.
2001
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Liquid Basket Weights (Oct 2010)

CHF, -7.53% AUD, -8.94%

Statistic Annual excess return Annual excess return volatility Sharpe ratio
EUR, -46.00%
Since Inception -2.98% 8.49% -0.4 6.09% -6.49% 42.95%
Last 12 Months -3.10% 10.47% -0.3 4.57% -4.89% 15.47%
GBP, -15.18%
Best monthly return Worst monthly return Worst drawdown

JPY, -22.35%
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FX: Borrowing Units

Overview
Style Featured Index Bloomberg Live Date BXIIGBU Oct 2006 Alternative Beta Global Borrowing Unit ER
Index performance
125 120 115 110 105 100 95 90 85 80 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Global Borrowing Unit ER Index
The Barclays Capital Borrowing Unit Index family has been designed to provide savings over 1M Libor borrowing rates by utilizing the carry generated by a portfolio of currencies. The portfolio is rebalanced monthly to reflect Libor rate changes while minimizing portfolio volatility. The interest rate of each unit is the weighted average of the optimized G10 portfolio. The Borrowing Unit indices are available in different currencies (USD, EUR, GBP and DKK).
Global Borrowing Unit Weights (January 2011)

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

Since Inception -1.55% 4.63% -0.3 4.68% -5.57% 31.49%
Last 12 Months -0.54% 0.38% -1.4 0.09% -0.26% 0.75%
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FX: Trade Weighted US Dollar Indices

Overview
Style Featured Index Bloomberg Live Date BXIIDDEU Feb 2009 Alternative Beta Dollar Diversification Index US ER
Trade Weighted USD ER Index
Index performance
140 130 120 110 100 90 80 2000
The Trade-Weighted Dollar Diversification Index and the Dollar Bull Index are tradable indices intended to reflect the depreciation or appreciation, respectively, of the U.S. Dollar against a trade-weighted basket of other currencies. The basket of currencies is determined by the composition of the U.S.s key trading partners. The weights of these countries currencies in the basket have changed over time, reflecting changing trade balances of other countries with the U.S. These indices are designed to target a fixed volatility and are available in both total return and excess return versions.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Currency Basket Weights for 2011

EUR, 18.43% CAD, 22.93%

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

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FX: CPCI Commodity Producers Currency Index

Overview
Style Featured Index Bloomberg BXIIC6EU Live Date Feb 2010 Alternative Beta CPCI 6-Ccy USD ER
Index performance
230 210 190 170 150 130 110 90 2002 CPCI USD ER Index
The Commodity Producers Currency Indices are designed to provide an investor exposure to the performance of commodityproducing countries currencies versus the U.S. dollar. The CPCI indices track the performance of long positions in six equally weighted currencies (AUD, BRL, CAD, NOK, RUB, and ZAR) versus the U.S. dollar, expressed through 1-month cash settled forward rate agreements. Investors can choose between two version of the indices one with fixed volatility targeting and the other without volatility targeting and between Total Return and Excess Return versions expressed in AUD, EUR, JPY, SGD, or USD.
2003
2004
2005
2006
2007
2008
2009
2010
CPCI Weights
ZAR, 16.67% RUB, 16.67%

NOK, 16.67%
AUD, 16.67%

CAD, 16.67%
BRL, 16.67%
70
FX: FX Volatility Index

Overview
Style Featured Index Bloomberg BXIIAEUS Live Date Jan 2009 Alternative Beta Alpha Vol USD ER
Index performance
160 150 140 130 120 110 100 90 2000 Alpha Vol USD ER Index
The Barclays Capital FX Volatility Index family takes long and short positions in forward volatility agreements for the G10 currencies. The Beta Vol and sBeta Vol strategies use a systematic ranking model that generates buy or sell signals based on the expected return of each asset. In the Alpha Vol strategy a systematic mean optimizer model is run to determine the weights of each of the forward volatility agreements in the index, based on pre-defined risk and return parameters.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010

Statistic Annual excess return Since Inception 3.91% 3.52% 1.1 2.77% -4.33% 9.25% Last 12 Months 6.89% 3.17% 2.2 1.98% -0.96% 1.80%
Alpha Vol Index Currency Weights (June 2010)

100% 75% 50% 25% 0% -25% -50% -75% -100% -66.67% 66.67%
Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
USDCAD USDCHF USDJPY AUDJPY EURJPY EURNOK AUDUSD EURGBP EURSEK EURUSD GBPUSD EURCHF
71
FX: ICI Intelligent Carry Index

Overview
Style Enhanced Beta Featured Index ICI USD ER Bloomberg BXIICRUS Live Date Jun 2006
Index performance
210 190 170 150 130 110 90 2000 ICI USD ER Index
The Intelligent Carry Index is intended to reflect the performance of the Intelligent Carry Strategy. The index aims to provide investors with optimized long/short exposure to G10 money-market instruments and earn yield differentials observed between markets. The weights assigned to the G10 positions are chosen through an optimization technique that targets the risk on the strategy.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Index Currency Weights (January 2011)

100% 75% 50% 25% 0% -25% -50% -75% -100% AUD CAD CHF EUR GBP JPY NOK NZD SEK USD -3.24% -5.92% -30.11% -25.95% -6.85% -15.09% 6.41% 13.81% 6.18% 60.76%

Since Inception 4.74% 6.09% 0.8 4.78% -4.77% 24.22%
Last 12 Months 3.33% 4.50% 0.7 1.96% -2.45% 5.44%
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FX: FX Value Convergence Index

Overview
Style Alpha Featured Index FX Value Convergence USD ER Bloomberg BXIIVEUS Live Date Jan 2009
Index performance
150 140 130 120 110 100 90 2000 FX Value Convergence USD ER Index
Long-term currency investors tend to rely on a valuation benchmark, such as Purchasing Power Parity (PPP) Theory, to decide when currencies are undervalued or overvalued. The FX Value Convergence Index takes long and short positions in G10 currencies while targeting a volatility of 5%. The underlying portfolio rebalances monthly, taking long and short positions on currencies deemed to be converging back to their PPP-based fair value from being undervalued and overvalued, respectively.
2001
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2003
2004
2005
2006
2007
2008
2009
2010
USDJPY Value Convergence Illustration

200 180 160 140 120 100 80 60 40 20 0 1990 1992 1994 Periods of dollar appreciation converging toward PPP-implied fair value 1996 1998 2000 2002 2004 2006 2008 2010 USDJPY Spot Rate USDJPY PPP Rate

Since Inception 2.20% 5.88% 0.4 9.78% -4.63% 10.61%
Last 12 Months -7.38% 5.95% -1.2 2.26% -3.25% 10.25%
Note: Chart for illustration only Actual historical strategy positions may differ. Source: Barclays Capital
73
FX: Adaptive FX Trend

Overview
Style Alpha Featured Index Adaptive FX Trend USD ER Bloomberg BXIIATEU Live Date Sep 2008
Index performance
160 150 140 130 120 110 100 90 2000 Adaptive FX Trend USD ER Index
The Adaptive FX Trend index attempts to capture alpha by identifying trends and trend reversals in the foreign exchange markets. The index targets a volatility of 5%, invests in G10 currencies and rebalances daily. Long and short currency positions are set according to moving averages and volatility analysis and are adjusted by scaling according to volatility.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Example trend identification for USDJPY

105 100 95 90 85 80 75 Jan 09 Spot FX Short Mov Avg Med Mov Avg Long Mov Avg

Since Inception 3.28% 5.46% 0.6 4.88% -3.93% 8.92%
Last 12 Months -0.04% 2.81% 0.0 1.25% -0.98% 3.37%
Apr 09
Jul 09
Oct 09
Jan 10
Apr 10
Jul 10
Oct 10
Note: Chart for illustration only Actual historical strategy positions may differ. Source: Barclays Capital
74
FX: FX Switch
Overview
Style Alpha Featured Index FX Switch USD ER Bloomberg BXIISWEU Live Date Apr 2010
Index performance
170 160 150 140 130 120 110 100 90 2002 FX Switch USD ER Index
The Barclays FX Switch Index utilizes market environment signals to dynamically allocate weights between three underlying FX index strategies the Intelligent Carry Index (ICI), the FX Value Convergence Index, and the Adaptive FX Trend Index. During unfavorable carry environments when volatility is high and interest rate differentials are low the strategy switches the weights allocated to the underlying strategy indices. Total Return and Excess Return formats are both available. The index is calculated in EUR; however, foreign currency versions are also available.
2003
2004
2005
2006
2007
2008
2009
2010
Dynamic Allocation Strategy of Switch

Favorable Carry Environment Unfavorable Carry Environment

Statistic Annual excess return Since Inception 4.92% 4.17% 1.2 3.90% -3.61% 7.41% Last 12 Months -0.25% 3.04% -0.1 1.21% -2.06% 4.73%
Trend 25% Carry 50% Value 25% SWITCH Trend 50% Value 50%
Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
75
Commodities: Overview and Classification

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BCI BGCI (Carbon) Pure Beta S2 Momentum Alpha Multi Strategy Voyager Backwardation
Providing a broad-based commodities benchmark index Tracking investments in most liquid carbon credit schemes Targeting tracking of nearby futures avoiding distortions Targeting outperforming points on term structure Applying distinct strategies to individual commodity sectors Seeking to generate absolute commodity returns Exposure to scarce commodities implied by backwardation Strategy going long Momentum Alpha and short nearby
ComBATS
INVESTABLE INDICES COMMODITIES
Index
Description
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Commodities: Barclays Capital Commodities Index

Overview
Style Access Beta Featured Index BCI USD TR Bloomberg BCC1C10T Live Date Jan 2011
Index performance
700 600 500 400 300 200 100 0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 BCI USD TR Index BCI Trade-Weighted USD TR Index
The Barclays Capital Commodities Index (BCI) is intended to be representative of the tradable market in USD commodity futures and it has been constructed to offer a benchmark for commodity investors. The BCI uses liquidity as the criterion for commodity selection and index weighting. The index imposes sector- and commodity-level weight caps on top of the liquidity weighting to provide investors with a diversified exposure to commodity markets. To cater for different investment objectives, two benchmarks are available: BCI and BCI Trade-Weighted.
BCI Index Family

Barclays Capital Commodity Index (BCI)

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

BCI Livestock BCI Industrial Metals BCI Energy
BCI Precious Metals
BCI Grains & Oil seeds
BCI Softs
Best monthly return Worst monthly return
BCI Trade-Weighted Index

Worst drawdown
77
Commodities: A benchmark for carbon BGCI

Overview
Style Access Beta Featured Index Emissions BGCI USD ER Bloomberg BXIIGCUP Live Date Dec 2007
Index performance
210 190 170 150 130 110 90 70 50 2006 Global Carbon USD ER Index
The Barclays Capital Global Carbon Index (BGCI) measures the performance of the most liquid carbon-related credit schemes and is designed to be an industry benchmark for carbon investors. Each scheme included in the index is represented by the most liquid instrument available in the marketplace. The index expects to incorporate new schemes as they develop around the world. At inception, the index includes two schemes: i) EU ETS Phase II and ii) Kyoto Clean Development Mechanism (CDM).
2007
2008
2009
2010
Global Carbon Index Structure

Global Carbon Index

Statistic Annual excess return Annual excess return volatility Since Inception -2.48% 39.26% -0.1 24.36% -25.02% 71.19% Last 12 Months 11.07% 29.04% 0.4 24.36% -7.38% 16.54%
Scheme
EU Emissions Trading Scheme Phase II. European Union Allowance (EUA).
Kyoto Clean Development Mechanism. Certified Emission Reduction (CER).
Sharpe ratio
Other schemes as they become eligible ...

Carbon instrument
Futures Contract traded on European Climate Exchange (ECX).
Futures Contract traded on European Climate Exchange (ECX).
78
Commodities: Redefining commodity beta with Pure Beta

Overview
Style Enhanced Beta Featured Index Pure Beta DJ-UBSCI
SM
Index performance
Bloomberg Live Date ER BCC3C1PP Oct 2009
40% 30% 20% 10% 0% -10% -20% -30% -40% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Pure Beta on DJ-UBSCI ER DJ-UBSCI ER
Barclays Capital Pure Beta indices are designed to provide a representative measure of commodity market returns while retaining the tradability of standard commodity benchmarks. The indices are constructed around the concept of providing the best proxy for the average price return of the front-year futures for each commodity while avoiding parts of the curve that are subject to persistent market distortions. Each month, Pure Beta uses a multi-step selection process to assess the relevance of different forward contracts and to select a single tenor for each commodity.
Pure Beta Index Family

Barclays Capital single commodity Pure Beta indices

Pure Beta on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility
ComBATS Custom Baskets
Since Inception PB 11.13% DJ-UBS 5.27%
Last 12 Months PB 18.42% 15.83% 1.2 1.97% 1.87% 1.1 14.91% 15.86% DJ-UBS 16.67% 16.38% 1.0
Pure Beta applied to benchmarks and sub-indices

S&P GSCITM S&P GSCI Light Energy S&P GSCITM Livestock
TM
Long/long-short index baskets
16.37% 17.21% 0.7 5.39% 2.96% 1.8 55.35% 57.13% 0.3
DJ-UBS Cdty IndexISM DJ-UBS CISM Agriculture
Sharpe ratio Annual Alpha
DJ-UBS CISM Energy
Tracking Error Information Ratio Worst drawdown
Total and excess return versions available Source: Barclays Capital
79
Commodities: Enhancing beta through term momentum

Overview
Style Enhanced Beta Featured Index Momentum Alpha DJ-UBSCI
SM
Index performance
Bloomberg Live Date ER BCC3C1MP Apr 2008
5% 4% 3% Momentum Alpha on DJ-UBSCI ER Monthly Outperformance Outperformance Index (RHS) 190 170 150 130 110 210
Barclays Capital Momentum Alpha aims to maximize outperformance relative to each nearby index through a dynamic commodity curve positioning process. Momentum Alpha indices gain exposure to the point on the commodity term structure with the highest historical outperformance, or alpha. Momentum Alpha can be applied to any benchmark index, sector, or sub-index. Available as single commodity indices and highly customizable.
2% 1% 0% -1% -2% -3%
-4% 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Momentum Alpha Index Family

Barclays Capital Single Commodity Momentum Alpha Indices
Momentum Alpha applied to benchmarks and sub-indices
S&P GSCI S&P GSCI LE

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

ComBATS 6 ComBATS 7 ComBATS 8
16.51% 17.21% 0.7 5.69% 3.33% 1.7 53.73% 57.13% 0.3
DJ-UBSCI
Annual Alpha Tracking Error
DJ-UBS Energy
DJ-UBS Metals
ComBATS 9
Customised
Information Ratio Worst drawdown

Total and Excess Returns Versions Available Source: Barclays Capital
80
Commodities: Multi-strategy enhanced beta

Overview
Style Enhanced Beta Featured Index Multi-Strategy DJ-UBSCI
SM
Index performance
Bloomberg Live Date ER BCC3C1UP Feb 2010
500 450 400 350 300 250 200 150 100 50 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Multi-Strategy DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased)
Barclays Capital Multi-Strategy Indices implement a customized enhancement strategy for each sector in order to improve the risk-return profile. Each commodity exhibits unique behavior and the MultiStrategy indices identify enhancements which are targeted to maximize beta returns at the individual commodity level. Strategies include roll yield maximization, momentum alpha, and a seasonal enhancement.
Enhancements based on characteristic behavior

Roll Yield Maximization Strategy Aluminum RBOB Gasoline WTI Crude Oil Nickel US Copper Zinc Momentum Alpha Strategy Coffee Cotton Live Cattle Soybeans Wheat Seasonal Strategy Heating Oil

MS on DJ-UBSCISM ER Statistic Annual excess return Annual total return volatility Sharpe ratio Annual Alpha Tracking Error Since Inception MS 12.13% DJ-UBS 5.27% Last 12 Months MS 18.25% 15.57% 1.2 1.34% 2.57% 0.5 14.87% 15.86% DJ-UBS 16.67% 16.38% 1.0
Corn Lean Hogs Soybean Oil Sugar
15.92% 17.21% 0.8 6.19% 3.54% 1.7 53.35% 57.13% 0.3
Standard Index Methodology Gold Silver
Information Ratio Worst drawdown

Natural Gas
81
Commodities: Navigating commodity markets

Overview
Style Enhanced Beta Featured Index Voyager DJ-UBSCI
SM
Index performance
Bloomberg Live Date USD ER BCC3C1VP Jun 2010
600 500 400 300 200 100 0 2000 Voyager DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased)
The Barclays Capital Voyager Index provides commodity investors with exposure to enhanced beta during normal market conditions, but switches to a market-neutral alpha allocation on a commodity-by-commodity basis if a bearish trend is detected. A signal based on technical factors is employed to switch from an enhanced beta (bullish) to alpha (bearish) allocation. The signal is tested twice a month, allowing the index to be response to trends in the markets.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Voyager Allocation Process

Calculation of the Signal Signal

Bullish Enhanced Beta Allocation Enhanced Beta Allocation

Bearish Alpha Allocation Long Enhanced Beta Allocation/ Short nearby Index

82
Commodities: Value investing using fundamental factors

Overview
Style Enhanced Beta Featured Index Backwardation ER Bloomberg Live Date BCCFBKLP Dec 2010
Index performance
1600 1400 1200 1000 800 600 400 200 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Backwardation USD ER Index DJ-UBSCI ER Index (Rebased)
In order to provide investors exposure to commodity strategies that take advantage of the concurrence between scarcity, backwardation and positive returns, Barclays Capital introduces the Backwardation Indices. The indices select commodities according to the degree of backwardation in order to identify scarce commodities and to benefit from their expected positive results. The slope of the futures curve, and in particular the degree of backwardation of the curve, is widely accepted to be a good proxy for scarcity.
Backwardation in commodity futures curves

Price Expectation of inventories returning to normal levels

Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Since Inception 25.08% 18.44% 1.4 14.61% -24.64% 52.67% Last 12 Months 36.03% 17.14% 2.1 8.91% -6.49% 14.38%
Low inventories make the near contracts trade at higher prices Nearby Future Source: Barclays Capital Distant Futures Time to Expiry

83
Commodities: Fundamentals Series Backwardation L/S

Overview
Style Alpha Featured Index Backwardation Long Short ER Bloomberg BCCFBKAP Live Date Dec 2010
Index performance
700 600 500 400 300 200 100 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Backwardation Long Short USD ER Index
The Barclays Capital Backwardation Long Short Index ranks a universe of 23 commodities on their degree of backwardation. It takes a long position in the six most backwardated commodities and shorts the six most contangoed/least backwardated commodities. The selected commodities are equally weighted and the sum of the absolute weights is 100%. Commodities in backwardation have historically achieved higher returns, as seen in the figure below.
Monthly average return vs. average slope (1999-2010)

2.5% 2.0% Average monthly return 1.5% 1.0% 0.5% 0.0%
Co tto n Co ffee Silver Go ld Kansas Wheat Wheat Natural Gas Co rn Co co a Zinc A lum. B rent Crude Heating Oil Co pper Lead Sugar So ybeans Lean Ho gs Live Cattle WTI Nickel Unleaded Gas Oil

Statistic Annual excess return Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown Since Inception 15.68% 11.76% 1.3 9.56% -9.66% 15.42% Last 12 Months 13.04% 10.42% 1.3 5.19% -5.69% 11.53%
-0.5% -1.0% -15%
Contango -12% -9% -6% -3% 0% 3%
Backwardation 6% 9%
84
Commodities: Market-neutral alpha strategy

Overview
Style Alpha Featured Index ComBATS 6 ER Bloomberg BCCAC06P Live Date Jan 2009
Index performance
4% 3% 2% 1% 0% -1% -2% -3% -4% 2000 2001 2002 ComBATS 6 Monthly Excess Returns ComBATS 6 USD ER Index (RHS) 290 265 240 215 190 165 140 115 90 2003 2004 2005 2006 2007 2008 2009 2010
The Barclays Capital ComBATS 6 Index reflects the performance of a market neutral alpha strategy that aims to exploit the curve shape based on the Momentum Alpha Strategy. The Momentum Alpha indices measure the performance of holding and rolling futures contracts selected along the futures curve according to momentum of historical outperformance. ComBATS 6 is comprised of a basket of ten commodity longshort pairs selected to provide a balance of sector and commodity weights.
Commodity Weights
Short: Nearby Indices Heating Oil Natural Gas WTI Aluminium Copper Nickel Zinc Wheat Lean Hogs Sugar -20% -15% -10% -5% 0% 5% 10% 15% 20% Long: Momentum Alpha Indices

Since Inception 9.60% 3.84% 2.5 2.94% -3.07% 5.64%
Last 12 Months 0.90% 4.12% 0.2 1.65% -2.51% 4.05%
85
Equities: Overview and classification

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Equity EM Series Chips Family
Exposure to various thematic Emerging Market baskets Thematic access to quality stocks Capturing the premium in short-term mean reversion Strategy based on the turn-ofmonth effect in stock indices Capturing trends in a portfolio of European stock indices Quantitative methods applied to various strategic focuses
ASTRO
TOM
Navigator
Q Series
INVESTABLE INDICES EQUITIES
Index
Description
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Equities: EM Series CEEMEA Sector Indices

Overview
Style Access Beta Featured Index CEEMEA Telecom Bloomberg BXIICEMT Live Date Oct 2009
Index performance
500 450 400 350 300 250 200 150 100 50 0 2004 2005 2006 2007 2008 2009 2010
Telecom Sector Index

Consumers Sector Index Materials Sector Index
Bank Sector Index Energy Sector Index
The purpose of the Barclays Capital CEEMEA Sector Indices is to provide exposure to five key equity sectors (Bank, Consumer, Energy, Material and Telecom) in the CEEMEA region through liquid and tradable instruments. Before being included in an index, each stock has to pass a screening process based on market capitalization and liquidity. The index determines the new stock selection once a year at the close of business on the first business day of August according to the relevant exchange calendars.
CEEMEA Selection Procedure

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

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

Market Capitalisation Average Daily Turnover

Selected constituents stocks
87
Equities: EM Series E7 Countries

Overview
Style Access Beta Featured Index E7 USD TR Bloomberg BXIIE7TU Live Date Jan 2010
Index performance
400 350 300 250 200 150 100 50 2005 E7 USD TR Index S&P BRIC 40 Index (Rebased) MSCI EM Index (Rebased)
The Barclays Capital E7 Equity Index is constructed to provide exposure to equity shares in the E7 countries: China, India, Brazil, Mexico, Russia, Indonesia and Turkey. Each stock included in the index passes a screening process based on market capitalization and liquidity. The index rebalances twice a year on the second Monday in March and September according to the relevant exchange calendars.
2006
2007
2008
2009
2010
E7 Selection Procedure
Initial Universe

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

Market Capitalisation >= USD 2bn Liquidity >= USD 20mln
Annual excess return Annual excess return volatility Sharpe ratio
Subject to Liquidity Ranking
Selected Constituent Stocks
88
Equities: EM Series Advanced Emerging Markets

Overview
Style Access Beta Featured Index Advanced EM USD TR Bloomberg BXIIAMTU Live Date Nov 2010
Index performance
400 350 300 250 200 150 100 50 2005 AEM USD TR Index S&P BRIC 40 Index (Rebased) MSCI EM Index (Rebased)
The Barclays Capital Advanced Emerging Markets (AEM) Equity Index is designed to provide exposure to advanced emerging market countries. The list of AEM countries is determined by the Barclays Capital Emerging Markets Research team with the aim of selecting countries with greater potential for solid future growth, but with less volatility and tail risk. Current AEM countries are Singapore, Chile, Korea, Taiwan, Israel, China, Brazil, South Africa, Poland and the Czech Republic.
2006
2007
2008
2009
2010
AEM Selection Procedure

Initial Universe

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

Market Capitalisation >= USD 2bn Liquidity >= USD 20mln
Annual excess return Annual excess return volatility Sharpe ratio
Subject to Liquidity Ranking
Selected Constituent Stocks
89
Equities: Chips Thematic access to quality stocks

Overview
Style Access Beta Featured Index European Chips EUR TR Bloomberg BXIICETE Live Date Oct 2010
Index performance
450 400 350 300 250 200 150 100 50 0 2005 2006 2007 2008 2009 2010
Barclays Capital Chips Indices are designed to provide exposure to quality stocks in various country, sector and investment themes through long-only investing. Before being included in an index each stock has to pass a screening process based on market capitalization, liquidity and a specific thematic Chips factor. The index then filters the remaining stocks for quality, based on the P/E ratio and the Return on Common Equity ratio.
European Chips EUR TR Index US Chips USD TR Index Green Chips USD TR Index Black Chips USD TR Index
UK Chips USD TR Index China Chips HDK TR Index Grey Chips USD TR Index
Chips Index Family

Country Exposure
UK Chips US Chips China Chips European Chips UK founded with expected future earnings growth potential Innovative US stocks with high annual R&D expenditure growth Quality Chinese stocks Western European potential leading stocks

Statistic Annual total return Annual excess return Annual excess return volatility Since Inception 10.37% 7.83% 19.45% 0.4 15.79% -17.44% 60.25% Last 12 Months 36.87% 36.28% 11.18% 3.2 7.57% -3.95% 9.98%
Sector Exposure
Green Chips Grey Chips Environmentally friendly global stocks Global stocks involved in senior activities
Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Investment Style Exposure

Black Chips Source: Barclays Capital Global stocks with high dividends and low debt ratios
90
Equities: ASTRO Algorithmic Short Term ReversiOn

Overview
Style Featured Index Bloomberg BXIIASUE Live Date Sep 2010 Alternative Beta ASTRO US ER
Index performance
190 180 170 160 150 140 130 120 110 100 90 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 ASTRO US ER Index
The Barclays Capital ASTRO index is designed to take advantage of short-term mean reversion in equity markets by replicating the daily-weekly variance spread. The index employs a delta hedging approach through a long or short position on the underlying index, with capped delta exposure. The index is available in Excess Return and Total Return formats.
ASTRO Index Framework

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

Average Leveraged Delta

The delta obtained from replicating 5 equally weighted rolling variance spread positions is leveraged and averaged across weekdays.
Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return
Cap Delta
The absolute value of daily delta is capped at 150% and the absolute amount of delta that is rebalanced every day is also capped at 150%.
Worst drawdown
91
Equities: TOMTM Turn-Of-the-Month Index

Overview
Style Enhanced Beta Featured Index TOM EUR Long/Short ER Bloomberg BXIIEUSE Live Date Aug 2009
Index performance
800 700 600 500 400 300 200 TOM Long/Short Euro STOXX EUR ER Index TOM Long Euro STOXX EUR ER Index DJ EURO STOXX 50 ER (Rebased)
The Barclays Capital Turn-Of-the-Month Index Family is constructed to enable investors to access equity indices in a more efficient way than a traditional buy-and-hold approach.
TOMTM Index Family

TOM
TM
Long
TOM
TM
Long/Short
100 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
US S&P 500
UK FTSE 100
Europe DJ Euro STOXX 50
South Africa FTSE/JSE TOP 40
Price return, excess return, and total return versions are available

TOM
TM
Long/Short Strategy Illustration

Month n
4 5 6 Last 10 days Last 3 days
First 3 days
Annual excess return volatility Sharpe ratio
Strategy goes short 10 business days before month-end Strategy closes its short position four business days before month-end Strategy goes long
Month n+1
First 3 days 4 5 6 Last 10 days Last 3 days
Strategy sells the equity position three business days after beginning of following month
92
Equities: Navigator Capturing trends in stock indices

Overview
Style Alpha Featured Index Navigator EUR ER Bloomberg BXIINAVE Live Date May 2009
Index performance
600 500 400 300 200 100 0 2001 Navigator EUR Index ER DJ EURO STOXX 50 ER (Rebased)
The Barclays Capital Navigator EUR Index is designed to capture upward or downward trends in European Equity indices (DJ EURO STOXX 50 TOTAL Return Index, DAX 30 Index, CAC 40 Total Return Index, IBEX 35 Total Return, S&P/ MIB Total Return Index ). This is done by using a quantitative model, which for each equity index out of a certain universe attempts to identify the current trend and selects the most appropriate position to be taken (long, short or neutral) over the next two weeks.
2002
2003
2004
2005
2006
2007
2008
2009
2010
Navigator Investment Allocation Procedure

Determine if the index is mean reverting Detects the direction of a long-term market trend The final decision is based on realized volatility signal

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

In MeanReverting Markets
Downtrend Decreasing Volatility SHORT
93
Equities: Q-GSP Growth Stock Picking strategy

Overview
Style Alpha Featured Index Q-GSP Large Cap USD ER Bloomberg BXIIGUER Live Date Nov 2009
Index performance
300 250 200 150 100 50 0 1999 Q-GSP USD ER Index S&P500 (Rebased)
The Barclays Capital Q-GSP (Growth Stock Picking) Index is designed to extract value from growth stocks at a reasonable price through monthly optimization from a universe of stocks filtered through liquidity and growth metrics. The initial universe is filtered based on market cap and daily turnover. A growth filter is applied to select stocks that have positive historical annual growth and positive expected growth, measured as the expected quarterly earnings per share for the next quarter minus the latest reported. Remaining stocks are ranked and the top 25 selected.
2000
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2006
2007
2008
2009
2010
Q-GSP selection procedure

Q-GSP Model Growth Filter Initial Universe of Stocks

+
Growth Rate & PE Ranking
Basket of Top 25 Stocks
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Equities: Q-True Value Value stocks with high quality

Overview
Style Alpha Featured Index Q-True Value Large Cap USD ER Bloomberg BXIIQVLE Live Date Oct 2010
200 150 100 50 0 2001
Index performance
250 Q-True Value Large Cap USD ER S&P500 (Rebased)
The Barclays Capital Q-True Value Index invests in value stocks with low default risk, as measured by the Barclays Capital Corporate Default (CDP) probability model. The index rebalances monthly to capture the most recent market information for a universe of stocks filtered through a number of value metrics and subject to a CDP ranking. The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index.
2002
2003
2004
2005
2006
2007
2008
2009
2010
Q-True Value selection procedure

Q-TV Model Value Filter Initial Universe of Stocks

Statistic Annual excess return Annual excess return volatility Since Inception 7.20% 7.71% 0.9 7.20% -5.95% 11.51% Last 12 Months -5.75% 6.34% -0.9 2.67% -2.64% 6.91%
+
CDP Ranking
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Equities: Q-BES Earnings Surprise strategy

Overview
Style Alpha Featured Index Q-BES USD ER Bloomberg BXIIQBEE Live Date Sep 2008
Index performance
400 350 300 Q-BES USD ER Index S&P500 (Rebased)
The Barclays Capital Q-BES indices take advantage of the market reactions to positive earnings surprises versus consensus estimates for US or European companies. The index rebalances monthly to capture the most recent market information for a universe of stocks filtered through a number of value metrics. The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index.
250 200 150 100 50 0 1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Q-BES selection procedure

Q-BES Model Value Filter Initial Universe of Stocks

+
Earnings Surprise Test
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Equities: Q-MA Merger Arbitrage strategy

Overview
Style Alpha Featured Index US Q-MA USD ER Bloomberg BXIIQMUE Live Date Nov 2010
Index performance
160 140 120 US Q-MA USD ER Index S&P500 (Rebased)
The Barclays Capital Q-MA US Index is designed to provide investors exposure to potential arbitrage opportunities arising from the US merger and acquisitions market. The strategy takes a long position in the targets stock after a deal is announced and holds the position until completion or termination of the deal. The long portfolio of target stocks is hedged with the S&P500 TR index to make the index market neutral.
100 80 60 40 20 0 2005
2006
2007
2008
2009
2010
Q-MA selection procedure

Initial Universe Selection Process Weights Determination Investment

Deal Type Deal Size Exchange Country Risk
Deal Risk Concentration Liquidity Expected Loss
97
EM: Overview and Classification

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EM Tradable Bond Family EM Swaps Equity EM Series1 GEMS KRW Term Premium SGD Exceed
Diversified, tradable, thematic baskets of EM bonds Tracking investments in EM interest rate swaps Exposure to various thematic Emerging Market baskets Tracking investments in 15 EM money markets Extracting term-premium from the KRW swap curve Extracting term-premium from the SGD yield curve
1 Details of the Equity EM Series can be found in the Investable Indices Equities section. INVESTABLE INDICES EMERGING MARKETS
Index
Description
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EM: Tradable Sovereign Bond Index

Overview
The Barclays Capital Emerging Markets Tradable USD Sovereign Bond
Index is a diversified basket index of dollar-denominated sovereign debt from EM issuers spanning three broad regions: 1) Latin America; 2) Central Europe, Middle East and Africa (EMEA); and 3) Asia.
180 170 160 150 140 130 120 110 100 90 2004 2005 2006 2007 2008 2009
Index performance
EM Tradable USD Sovereign Index Broad EM USD-Sov Index
The basket is designed to be broad-based in its coverage of EM

sovereign issuers, yet tradable, by including a single liquid bond from each eligible EM issuer, and diversified, by capping and flooring both the region and country exposures in the index according to the index rules.
The index is rebalanced annually and is differentiated by its use of Gross

Domestic Product (GDP) as a measure of economy size to determine the relative weights of each country within the basket, rather than using the market value of outstanding debt as in traditional benchmarks.
GDP-Capped Country Weights: May 2010

10% 9% 8% 7% % of Index 6% 5% 4% 3% Hungary Uruguay Panama S. Africa S. Korea Croatia Mexico 2% 1% 0% Philippines Venezuela Colombia Argentina Lithuania Indonesia Poland Turkey Russia
Historical Annual Returns

Asia
LATAM
EMEA
Year 2H 2004 2005 2006 2007 2008 2009 1Q 2010 Jun 2004-1Q 2010 (Annualized)
EM Tradable USD Sovereign Index
Broad EM USDSov Universe Difference (MV weighted) 16.08 14.66 1.42 12.32 10.51 1.81 9.62 9.94 -0.32 5.50 6.10 -0.60 -10.70 -10.63 -0.07 24.88 27.58 -2.70 3.28 3.84 -0.56 9.93 10.07 -0.14 Avg Monthly TEV -0.02 Realized TEV 0.99 Corr. of monthly returns 97.5%
Qatar
Brazil
Israel
Peru
UAE
INVESTABLE INDICES EMERGING MARKETS
99
EM: Tradable Local Currency Bond Index

Overview
The Barclays Capital Emerging Markets Tradable Local Currency Bond
Index (EMLOCAL) is a tradable subset of the flagship EM Local Currency Government benchmark bond index, comprised of debt from up to sixteen EM sovereign issuers.
Index performance
Index Value 110 100 90 80 70 Jul-08
EMLOCAL includes representative and liquid benchmark-eligible

bonds from four different regions (Latin America, Eastern Europe, Asia, and Middle East and Africa), with caps and floors by both country and region to ensure diversification across markets.
The index is designed to be broad-based in its coverage of local EM

debt markets, yet tradable, by selecting a maximum of three bonds per country and rebalancing only semi-annually, in May and November.
Jan-09
EMLO CALIndex
Jul-09
Jan-10
Jul-10
EM Local CurrencyG Index ovt
Country Weights: November 2010

14% 12% 10% 8% 6%
Czech Rep
Historical Quarterly Returns (USD, Unhedged)

ME & Africa
Asia
Eastern Europe
Latin America
Year 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 Aug 2008-Dec 2010 (Annualized)
EMLOCAL Index -7.53% -5.44% 13.32% 7.94% 3.63% 4.40% -3.99% 11.02% 0.30% 4.68%
EM Loc Currency Difference Govt Index (bps) -5.56% -6.76% 12.38% 8.29% 3.23% 4.75% -3.30% 11.04% 0.06% 4.44% -197 132 94 -35 40 -35 -69 -2 24 24 1 84 100
4%
Thailand Malaysia S.Korea Poland Russia Indo.
Hungary
Mexico
Brazil
0%
Israel
Chile
Peru
2%
Egypt
S.Africa
Turkey
Average Monthly TE Realized Monthly TE
EM: EMTIL EM Tradable Inflation Linked Index

Overview
The Barclays Capital Emerging Markets Tradable Inflation Linked Index
(EMTIL) is a tradable subset of the flagship EM Government InflationLinked (EMGILB) benchmark bond index.
180 160 140 120 100 80 60 Mar-07 Mar-08 Mar-09
EMGILB Constrained
Index performance (USD, Unhedged)

EMTIL EMGILB x Col x Arg (Constrained )
EMTIL includes representative and liquid benchmark-eligible bonds

from Brazil, Mexico, Chile, South Africa, S. Korea, Turkey, and Poland with a 25% country cap/5% floor to provide diversification. Israel will be eligible for inclusion in 2011.
The index is designed to be broad-based in its coverage of local EM debt

markets, yet tradable, by selecting between one and three bonds per country and rebalancing annually.
Index returns are calculated net of annual rebalancing costs.
Mar-10
Country Weights: March 2010 Rebalancing

Chile 5.8% Turkey 20.2% S.Africa 14.0% Mexico 25.0% Poland 5.0% S.Korea 5.0% Brazil 25.0%
Historical Quarterly Returns (USD, Unhedged)

EMTIL Index Annualized return (March 07-Sept 10) Annualized volatility Information ratio Tracking error Correlation with EMTIL # Bonds
EMGILB EMGILB Ex Argy Ex Colom (constrained) 13.98% 15.17% 0.92 1.27% 0.99 54 11.15% 18.25% 0.61 4.24% 0.95 65
12.79% 15.47% 0.83 13
101
EM: Asia and EEMEA Swap Index Families

Overview
Style Access Beta Featured Index Asia Swap 10 YR SGD ER Bloomberg BSWACS10 Live Date Oct 2009
Index performance
135 130 125 120 115 110 105 100 95 90 2002 2003 2004 2005 2006 2007 2008 2009 2010 2 1.5 4 3.5 3 2.5 SGD 10Y Swap ER Index SGD 10Y Swap Rate (RHS) 5 4.5
The Barclays Capital EM Asia and EEMEA Swap Index families extend our investable global nominal interest rate swap index coverage into the EM space using transparent swap pricing. The indices can be used as cost efficient systematic duration access tools, hedging tools, benchmarks, and components in strategy indices. 1yr forward 1yr receive fix swap indices supplement the core spot starting indices. A long-dated SGD index is also available.
EM Swap Index Families

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

Since Inception 2.41% 7.26% 0.3 8.25% -6.77% 17.40%
Last 12 Months 2.77% 4.45% 0.6 2.74% -1.69% 7.04%
102
EM: Local currency money market exposure with GEMS

Overview
Style Access Beta Featured Index Global Emerging Markets Strategy (GEMS) USD ER Bloomberg BXIIGEEU Live Date Jul 2006
Index performance
250 230 210 190 170 150 GEMS USD ER Index
The Barclays Capital GEMS family of Indices are investable indices that allow access to major emerging markets with a short duration, liquid, and diversified investment. The GEMS indices are based on the concept of accessing short-term money markets in 15 major emerging markets across the world. Various sub-indices reflecting certain regions, such as LatAm, BRIC, and Asia, as well certain currency policies, such as the index of pegged currencies.
130 110 90 2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Access global emerging money markets

GEMS Family

Total Return
Global EEMEA ASIA LatAm
Alpha
EUR JPY AUD
Spot
Global Pegged Asia - 8 BRIC
103
EM: KRW Rates Term Premium

Overview
Style Alpha Featured Index KRW Rates Term Premium ER Bloomberg BXIIKRTP Live Date Dec 2010
Index performance
110 108 106 104 102 100 98 2002 KRW Rates Term Premium ER Index KRW Rates Term Premium Long-Only ER Index
The Barclays Capital KRW Term Premium Index provides access to a systematic forward bias strategy and aims to offer enhanced returns across interest rate cycles. The index framework dynamically selects long or short positions in forward swaps given trends in rates and the shape of the swap curve. Given that Korea is a very open economy, the trend component of the signal also assesses information from the US rates markets.
2003
2004
2005
2006
2007
2008
2009
2010
KRW and USD rates correlation on monthly changes

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

Since Inception 1.01% 0.99% 1.0 1.31% -0.87% 1.32%
Last 12 Months 1.74% 0.36% 4.9 0.29% -0.06% 0.43%
104
EM: SGD Exceed Front-end alpha extraction

Overview
Style Alpha Featured Index SGD Exceed ER Bloomberg BXIISGEX Live Date Jan 2010
Index performance
110 108 106 104 102 100 98 2002 SGD Exceed ER Index SGD Exceed Long-Only ER Index
Tradable, transparent, and rules-based index built on a simple algorithm which extracts excess returns from the short end of the SGD curve using a forward swap index. The default position is long the swap, benefiting from positive roll down, due to the term premium. However there is a long/ short feature based on a rates trend identification signal. SGD and USD short rates define the signal since Singapore is a trade-oriented economy managing a trade-weighted currency and, thus, is influenced by local conditions and the US.
2003
2004
2005
2006
2007
2008
2009
2010
Allocation and short-term rates

7% 6% 5% 4% 0 3% 2% 1% 0% 2002 -2 2003 2004 2005 2006 2007 2008 2009 2010 -1 1 SGD SORF 6M USD LIBOR 3M Allocation (RHS) 2

Since Inception 1.04% 0.76% 1.4 0.80% -0.39% 1.21%
Last 12 Months 0.96% 0.58% 1.7 0.36% -0.20% 0.43%
105
Index Replication: Overview and Classification

106
he ro -t
ke t
Va l
Ca
RBIs Bond Indices REMIX (MBS) LBAR/SBAR Hedge fund
Tracking bond indices using derivative instruments Tracking the US MBS FixedRate Index with TBA positions Tracking the HFRI Composite Index
INVESTABLE INDICES INDEX REPLICATION
Index
Description
Tr en d
ac
rr
ue
ar
Index Replication: Replicating Bond Index (RBI) Baskets

Overview
Style Access Beta Featured Indices Global Aggregate RBI Series 2 US Aggregate RBI Series 2 Bloomberg LB04 LB01 Live Date Apr 2004 Apr 2004
120 110 100 90 2004
Index performance
140 130 US Aggregate RBI US Aggregate Index
Replicating Bond Index (RBI) baskets are portfolios of derivative instruments designed to track a bond index. The basket is reconstituted each month, using a mechanistic algorithm to match, as closely as possible, the term structure and spread exposures of the relevant Barclays Capital index. RBI baskets can be created on any Barclays Capital Index or custom index. A series of RBI baskets with different derivative replication strategies are also available for the same benchmark index.
2005
2006
2007
2008
2009
2010
Performance of RBI Baskets (Apr 2004Apr 2010)

RBI Basket
US Aggregate RBI US Gov/Credit RBI
Description
TRS (UST, MBS) Swaps, CDX TRS (UST), Swaps, CDX TRS (UST, US MBS), Swaps, JGB futures, CDX, iTraxx Swaps, JGB futures, CDX, iTraxx Futures, Swaps, iTraxx Swaps, JGB futures
TEV (bp/mo)
44.0 57.8
|TE| Worst (bp)

185.6 233.8
Different RBI Baskets for Different Benchmarks

Global Aggregate Global Aggregate Ex USD Japanese Aggregate
Global Aggregate RBI

US Aggregate
34.5
174.1
RBI Baskets
Global Aggregate x US RBI

European Aggregate
33.3 38.2 21.2
161.9 157.2 81.1
Govt / Credit
Custom Client Benchmarks Source: Barclays Capital
Euro Aggregate RBI Japanese Aggregate RBI (from Oct 2003) Source: Barclays Capital
107
Index Replication: Tracking MBS using REMIX

Overview
Style Access Beta Featured Index MBS Index Replication Portfolio Live Date Sept 2001
Adding MBS Allocation to an Intermediate UST Portfolio Improves Overall Portfolio Performance
0.50 0.48
Sharpe Ratio
The Replicating Mortgage Index is a portfolio that holds 12-18 liquid TBA positions, rebalanced monthly, to track the performance of the US MBS Fixed-Rate Index. REMIX offers clients an opportunity to efficiently gain exposure to the MBS sector without the portfolio management and operations overhead of a fully fledged cash-settled MBS portfolio operation. Performance has closely tracked the MBS Index: the average monthly tracking error has been -0.4 bp/mo with a tracking error volatility of 7.9bp/mo. Customized/tailored versions of REMIX are available.
0.46 0.44 0.42 0.40 0%
10%
20%
30% 40% 50% 60% 70% Portion (%) of MBS in Portfolio
80%
90%
100%
Note: Data 1/984/10. Source: Barclays Capital
Tracking Error: REMIX vs. Fixed Rate MBS Index

20 10
Tracking Error (bps)
Adding MBS to an Intermediate UST Portfolio Improves the Portfolios Tail Risk Properties
MBS proportion Monthly total return Monthly total return volatility Best monthly return Worst monthly return 0% 0.42% 0.98% 3.70% 20% 0.43% 0.95% 3.57% 40% 0.44% 0.94% 3.45% 60% 0.45% 0.94% 3.33% 80% 0.47% 0.96% 3.21% 100% 0.48% 0.99% 3.08%
0 -10 -20 -30 -40 -50 -60 2001
2002
2003
2004
2005
2006
2007
2008
2009
-2.26% -2.87% -3.55% -4.23% -4.92% -5.60%
Note: Data: 1/984/10. Source: Barclays Capital
108
Index Replication: Tracking hedge fund returns

Overview
Style Featured Index Bloomberg BXIILARE Live Date Mar 2009
210 190 170 150 130 110 LBAR USD ER Index
Index performance
Beta Replication LBAR USD ER
The Long Barclays Alternatives Replicator (LBAR) index is designed to provide investors with a tradable long exposure to the global hedge funds industry by attempting to track the HFRI Composite index. LBAR takes positions in a dynamic basket of investable market instruments that rebalances on a monthly basis. Weights are chosen based on a factor model. The Short Barclays Alternatives Replicator (SBAR) offers short exposure to HFRI Composite.
90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Replication Results Comparison

4% 3% 2% 1% 0% -1% -2% -3% -4% Dec 2009 Apr 2010 Aug 2010 Dec 2010 HFRI Composite LBAR

Since Inception 3.58% 7.45% 0.5 7.13% -8.69% 26.22%
Last 12 Months 2.19% 5.68% 0.4 2.08% -3.14% 6.57%
109
Overview of Barclays Capital POINT

Innovative Multi-Asset Portfolio Analysis
OVERVIEW OF BARCLAYS CAPITAL POINT
110
POINT: An Innovative Multi-asset Portfolio & Index Analysis Tool

POINT is a software application that provides comprehensive solutions for every stage of the investment process, leveraging Barclays Capital research and technology to offer advanced index analysis, multi-asset portfolio construction, risk forecasting, and performance analysis. The POINT platform combines the intellectual capital of Barclays Capitals leading research and trading operations with a highly scalable technology solution that supports more than 200 institutions globally, processing more than 10,000 portfolios and more than 1.3mn securities daily.
Cross Asset Solutions

Access to industry-leading valuation models Consistent view of portfolio metrics Integrated understanding of fixed income and equity risk Dedicated client service and enterprise solutions Portfolio & Index Analysis
Multi-factor risk models Hybrid Performance Attribution Portfolio optimization and hedging tools Scenario Analysis
Scalable Platform

Single Security Analytics

Flexible front end for intra-day analysis Automated reporting and portfolio maintenance Robust, enterprise-wide batch processing Client data security
Indicative, price, and analytical data Option-adjusted analytics based on government, swap, and municipal curves Equity sector betas and sensitivities to fundamental and technical factors
111
Barclays Capital POINT Security/Instrument Coverage

MULTI-ASSET Cash Equities, Common Stock, Closed-end Funds, ETFs, ADRs, and REITs Cash Fixed Income, Treasury, Agencies, Corporate, Municipals, and Inflation-Linked Securities Securitized Products, MBS, ABS, CMBS, and CMO
et ss -A lti u M
INTEREST RATES AND DERIVATIVES IR Swaps, Caps/Floors, Swaptions, CDS

IR
Bond Futures, IR Futures, and Options

& De riv
CDX, TRS, FX Forwards, Eurodollars

at iv es
Listed equity options on single-name stocks, ETFs and Index Futures
om
POINT Coverage
b Glo
Cus t
GLOBAL COVERAGE Fixed Income Emerging Markets coverage of more than 140 currencies Equity coverage in 48 currencies and 84 countries Global Rates, Sovereign and Corporate coverage Curves for 39 currencies
USER-DEFINED INSTRUMENTS Model custom bilateral contracts Coverage of Private Equity Flexibility to design custom structures
INDICES Access major indices and benchmarks Benchmark portfolios directly to Barclays Capital Indices Upload or create custom indices for benchmarking and analysis
112
al
Indices
POINT: Advanced Portfolio Models

Global Risk Models
Decompose relative and absolute risk using intuitive, detailed, multi-factor risk models View risk as a set of fundamental factors accounting for correlations across asset classes Project portfolio tracking error and value-at-risk Apply custom prices and analytics Partition risk across factors, sectors and other customizable dimensions Quantify systematic and unsystematic risk exposures using detailed risk reports
Hybrid Performance Attribution

Understand the sources of outperformance in detail using daily transactional data Introduce elements of a risk-factor-based framework into traditional sector-based attribution to create a custom hybrid approach Compare performance against a standard or custom index, another portfolio, or cash Define a multi-level partition to mimic a portfolios management structure Choose market value or risk-based weights to measure exposure to currencies or sectors Account for P&L gained from intra-day transactions
113
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
114
Quick reference for featured Benchmark Indices

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

Investable Index
Adaptive Trend [FX] AEM: Advanced Emerging Markets [Equities] AIMS: Outperforming TIPS [Inflation] Asia and EEMEA Swaps [EM] ASTRO: Algorithmic Short Term ReversiON [Equities] Atlantic Exceed: Money-market term premium [Rates] Backwardation [Commodities] Backwardation Long Short [Commodities] Barclays Capital Commodities Index (BCI) [Commodities] BLSC: Long-Short Credit [Credit] Bond Futures [Rates] Borrowing Units [FX] BPX: Swaption Volatility [Rates] CEEMEA Sector Indices [Equities] Chips: Thematic access to quality stocks [Equities] ComBATS 6: Market neutral multi-commodity alpha strategy [Commodities] CPCI: Commodity Producers Currency Index [FX] Credit Beta [Credit] CRYSTAL: EURO-USD spread [Rates] E7 [Equities] EMTIL: Tradable Inflation Linked Index [EM] FX Volatility [FX] GEMS: Local currency money market exposure [EM] Global Carbon [Commodities] Global Target Exceed: Money-market term premium [Rates] ICI: Intelligent Carry Index [FX] Inflation Swaps [Inflation]
Page
74 89 61 102 91 54 83 84 77 65 49 68 52 87 90 85 70 63 53 88 101 71 103 78 55 72 59
Investable Index
INSPIRE: Expected inflation [Inflation] IRFix Swaps [Rates] KRW Rates Term Premium [EM] LBAR/SBAR: Tracking hedge fund returns [Index Replication] Liquid Basket [FX] Local Currency Bond Index [EM] Momentum Alpha [Commodities] Multi-Strategy [Commodities] Navigator: Trend-capturing strategy [Equities] NEMO: Spread trend-following [Credit] PRISM: Combining rates alpha strategies [Rates] Pure Beta Series-2 [Commodities] Q-BES: Earnings surprise [Equities] Q-GSP: Growth stock picking [Equities] Q-MA: Merger Arbitrage [Equities] Q-True Value: Value stocks [Equities] RBI: Replicating Bond Index baskets [Index Replication] REMIX: Tracking MBS [Index Replication] SGD Exceed: Front end alpha extraction [EM] Sovereign Bond Index [EM] Switch: Combination of FX stategies [FX] TOM: Turn-Of-the-Month Index [Equities] Trade Weighted US Dollar [FX] TrendStar+: Swap curve slope [Rates] US Treasury Yield Curve Slope [Rates] Value Convergence [FX] Voyager: Absolute commodity returns [Commodities]
Page
60 50 104 109 67 100 80 81 93 64 57 79 96 94 97 95 107 108 105 99 75 92 69 56 51 73 82
Note: The Barclays Capital Investable Indices each have specific Live Dates. Historical data after these dates reflect live index performance. All historical data prior to the indices Live Date are derived from hypothetical back-testing. Source: Barclays Capital
116
Contacts
New York
Barclays Capital 745 7th Avenue New York, NY 10019 +1 212 526 7400 Index-us@barcap.com
London
Barclays Capital 5 The North Colonnade London E14 4BB +44 (0) 20 7773 3744 index-uk@barcap.com
Singapore
Barclays Capital 1 Raffles Quay Singapore, 048583 +65 6308 2225 index-sg@barcap.com
Tokyo
Barclays Capital Japan Limited 31F Roppongi Hills Mori Tower 6-10-1 Roppongi, Minato-ku, Tokyo 106-6131 +81 3 4530 1760 index-tk@barcap.com
Index, Portfolio and Risk Solutions

Waqas Samad Head of IPRS +44 (0) 20 313 42104 waqas.samad@barcap.com Nicholas Gendron Index Licensing +1 212 526 6758 nicholas.gendron@barcap.com Donal Creed Index Production +1 212 526 9424 donal.creed@barcap.com
Benchmark Indices
Global Brian Upbin, CFA, CAIA +1 212 526 6981 brian.upbin@barcap.com US Sherwood Kuo, CFA +1 212 526 2490 sherwood.kuo@barcap.com Europe Anand Venkataraman +44 (0) 20 7773 0852 anand.venkataraman@barcap.com Scott Harman +44 (0) 20 7773 1775 scott.harman@barcap.com Asia Norman Tweeboom +65 6308 3870 norman.tweeboom@barcap.com Tadashi Tago +81 3-4530 1772 tadashi.tago@barcap.com
Investable Indices
Global Anthony Lazanas +1 212 526 3127 anthony.lazanas@barcap.com US Graham Rennison +1 212 526 6675 graham.rennison@barcap.com Zarvan Khambatta, CFA +1 212 526 2715 zarvan.khambatta@barcap.com Europe Jose Mazoy +44 (0) 20 3134 0998 jose.mazoy@barcap.com John Williams +44 (0) 20 7773 2419 john.williams@barcap.com Europe Lee Phillips lee.phillips2@barcap.com +44 (0) 20 7773 3473 Asia Norman Tweeboom norman.tweeboom@barcap.com +65 6308 3870 Asia Rahul Sharma +65 6308 3982 rahul.sharma@barcap.com
POINT
US Paul Salerno paul.salerno@barcap.com +1 212 526 9779
DISCLAIMER Barclays Capital makes no analytic tools are accurate, reliable, complete, or appropriate for use by all investors DISCLAIMERisrepresentations that the information contained herein or any of theother advice toor reports referenced herein analytic tools or reports referenced herein and any results derived from in all locations. Barclays Capital not utilizing this document or this report to provide investment or you or any other party. Any their
use provided herein are intended for informational purposes only and should not be regarded as an offer to sell or a solicitation of an offer to buy the products or securities to which it applies. No representation is made that any returns will be achieved through their use. Past performance is not necessarily indicative of future results. All levels, prices and spreads are historical and do not represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document. You should consult with your own accounting, legal or other advisors as to the adequacy of this information for your purposes. Users referencing these materials may not necessarily be able to deal directly with all market centers referenced herein. All information is provided "as is" without warranty of any kind. Because of the possibility of human and mechanical errors as well as other factors, Barclays Capital is not responsible for any errors or omissions in the information contained herein or any of the analytic tools or reports referenced herein. Barclays Capital makes no representations and disclaims all express, implied and statutory warranties of any kind to the users and /or any third party, including any warranties of accuracy, timeliness, completeness, merchantability and fitness for a particular purpose. Barclays Capital shall have no liability in any way to you or any other entity for any loss or damage, direct or indirect, arising from the use of the information contained herein or any of the analytic tools or reports referenced herein, even if Barclays Capital or an authorized Barclays Capital representative has been advised of the possibility of such damages. Not all products or services mentioned in this notification are available in all jurisdictions. No offers, sales, resales, or delivery of any products or services described herein or any offering materials relating to any such products or services may be made in or from any jurisdiction except in circumstances which will result with compliance with any applicable laws and regulations and which will not impose any obligations on Barclays or any of its affiliates. Barclays Bank PLC. Registered in England. Registered No: 1026167. Registered Office: 1 Churchill Place, London, E14 5HP. Barclays Bank PLC is authorised and regulated by the Financial Services Authority. Barclays Capital is the investment banking division of Barclays Bank PLC, a company authorised and regulated by the Financial Services Authority and a member of the London Stock Exchange which undertakes US securities business in the name of its wholly owned subsidiary Barclays Capital Inc., a FINRA and SIPC member." No part of this document may be reproduced in any manner without the written permission of Barclays Capital. 2011 Barclays Capital. All rights reserved.

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INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

BARCLAYS CAPITAL INDICES

Credit Magazine Americas Awards

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All-America Fixed Income Research Poll

Best Index Provider

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#1 Bond Market Indexes

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Barclays Capital IPRS Products & Services

PORTFOLIO & INDEX ANALYSIS TOOLS (POINT)

INVESTABLE INDEX PRODUCTS & SOLUTIONS

PORTFOLIO PERFORMANCE & RISK

INDEX SPONSOR FOR INDEXLINKED PRODUCTS

PORTFOLIO STRUCTURING SOLUTIONS RESEARCH & ADVISORY

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Investment goal Constraints

Trading expertise Risk management

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

The New Frontier of Index Products: From Beta to Alpha

Broad Market Benchmark Indices

Access Products for markets without liquid benchmarks

Common investment strategies with established performance patterns

Beta Replication Products Alternative Beta

Active strategies with attractive risk/return

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Overview of Barclays Capital Benchmark Indices

Timeline: Major Index Launches

Broad Market Fixed Income and Inflation Benchmarks Beta replication

Enhanced access to established beta

Common investment strategies with established performance patterns

Customized Index Solutions/Advisory Services

Active strategies with attractive risk/return

adjusted Indices, Alternative Weight Indices, Bespoke Client Indices

Strategies and Optimization

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Barclays Capital Suite of Investable Indices

Broad market fixed income and inflation benchmarks Beta replication

Common Investment strategies

Common investment strategies with established performance patterns

Active strategies with attractive risk/return

INDEX, PORTFOLIO AND RISK SOLUTIONS

BARCLAYS CAPITAL INDICES

Barclays Capital Benchmark Indices

BARCLAYS CAPITAL INDICES

Why investors use Barclays Capital Benchmark Indices

Broad Product Coverage and History of Innovation

Investment Professionals Using Barclays Capital Benchmark Indices

Robust and Objective Index Methodology

BARCLAYS CAPITAL INDICES

Overview of Benchmark Index Methodology and Construction

Price Return: Capital appreciation/depreciation derived from

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

This ensures that the index is representative of the investable

Robust index governance procedures are in place to periodically

Indices are rebalanced on a monthly basis. This offers intra-month