barclays capital radar strategy citywire stockholm final [read only]

Barclays Capital RadarResearch Analysis Driven Absolute Return Strategy

Global Research in action

March 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investorsThis document contains limited information about the strategy. Further details are available on request.

Barclays Capital Fund SolutionsThe asset management business of Barclays Capital

2For institutional and professional investors only. For information only.

Not for further distribution or distribution to retail investors

Contents

• Radar Overview

• Radar Investment Team

• Key Benefits

• Why Radar

• Radar Investment Process

• Performance

• Summary

• Appendix

• Important Information

Radar – OverviewResearch Analysis Driven Absolute Return



Barclays Capital Radar – Strategy Overview

Cash, equities, bonds futures, liquid OTCs1

Multi-Asset

VaR constrained leverage

Global Macro

GBP 26.4m

Global

Daily

Key Facts

17 February 2009

1 Over The Counter instruments comprise mainly interest rate swaps. 2 Source: Barclays Capital, as of 29 February 2012

Regional Coverage

Instruments Used

Liquidity

Diversification

Market Exposure

Classification

Strategy AUM 2

Strategy Launch Date

Positive absolute returns over a 12-month period in all market environments

Target

Performance

TargetPerformance

Return

Historical volatility 10-12% per annum

Key Features

• Targets positive absolute returns in all conditions

• Firm grip on volatility

• Multi-asset global macro strategy

• Benefits from independent Barclays Capital Research expertise in economic and market analysis

• Harnesses tactical asset allocation and execution by Barclays Capital Fund Solutions (BCFS)

• Rigorous investment process and strict governance

• Focuses on liquid securities

• Strategy managers: Jason Smith, Ian Mizrahi



• The Radar Monthly Research Forum, chaired by Jason, Ian and Jeff, meets formally once a month to discuss the latest research themes. This is one of the many points of contact and interaction that BCFS has with Barclays Research. Along with the formal meetings, Jason, Ian and their team have complete access to the research department as and when they need.

• The forum comprises members of the BCFS portfolio management team and key representatives from Barclays Capital Research, covering all major asset classes and markets. This accomplished group of analysts includes experts in equity strategy, credit strategy, emerging markets, foreign exchange, fixed income securities and commodities.

• The group discusses recent market events and new research, looking at both the long and short term, and gauging the analysts’conviction of each investment idea.

Radar Investment Team

Radar Monthly Research Forum

Jason Smith: Senior Portfolio Manager

Jason Smith is a Senior Portfolio Manager responsible for the management of BCFS’discretionary fund range, including Radar and its fund-of-funds range. He was previously a Senior Portfolio Manager at BlackRock, where he actively managed a

number of high profile absolute return funds. Jason Smith has over 15 years’ investment experience and holds a BA (Hons) in Banking from London Guildhall University and a Postgraduate Diploma in Artificial Intelligence from the University of Westminster

Ian Mizrahi: Senior Portfolio Manager

Ian Mizrahi is the Head of Portfolio Management and Structuring for BCFS. Prior to joining Barclays Capital, he headed the Structured Commodities and Multi-Asset trading desks at Bear Stearns. Prior to that, he worked as a

cross-asset exotics trader for Deutsche Bank and as an investment banker for Royal Bank of Canada. Ian Mizrahi graduated Valedictorian from the INSEAD MBA programme in France. He holds an MS degree in Economic Systems and Operations Research from Stanford University, and Engineering degrees in Telecommunications and Computer Science.

Prior to joining BCFS in 2012, Jeff was a director in the commodities algorithmic trading group at Barclays Capital. Previously, Jeff managed fixed income strategies at Millennium Partners, served as head of equity derivatives and portfolio manager at PIMCO and

Jeff Ludwig: Senior Portfolio Manager

was a proprietary trader at CSFB. Jeff has 17 years of investment experience and holds a PhD and a Masters degree in Electrical Engineering & Computer Science from the Massachusetts Institute of Technology. He also has an undergraduate degree in Aeronautics & Astronautics from MIT.



Barclays Radar Strategy – Key benefits

• Access to the investment ideas published by Barclays Capital Research

• Harnesses the best ideas with the highest conviction through BCFS portfolio management expertise

• Invests nimbly, with the ability to react quickly to changing market conditions

• Providing diversification to traditional and other alternative investments


Not for further distribution or distribution to retail investorsFor institutional and professional investors only. For information only.

Not for further distribution or distribution to retail investors7

Why Radar: Accessing Barclays Capital Research capab ilities

• Over 750 analysts

• Award-winning research

• Global presence

• Coverage of every region and asset class

Based on the votes of the world’s largest 100 asset managers by AUM

#1 Overall Trade Ideasfor the second consecutive year

August 2011

All-Europe Fixed Income Research Poll

#2 Asset-Backed Securities Strategy

#3 Economics

#3 Quantitative Analytics

February 2011

Based on the votes of the world’s largest 100 asset managers by AUM

#1 Supranational & Agencies#1 General Industries

#1 Securitisation & Asset-Backed Securities

For the second consecutive year:#1 TMT

#1 Sovereigns

August 2011

Index Innovation of the Year

May 2011




Why Radar: Expert portfolio management from BCFS

• Ability to take advantage of opportunities across the globe in all asset classes

• Dedicated team of 14 investment professionals within BCFS with specific asset class expertise

• Exceptional depth of experience in trading specialist instruments

• Ability to turn ideas and themes into viable investments in most risk/return conditions

• Supported by robust trading, risk management and analytic systems




Why Radar: Flexible strategy that can react nimbly to any challenge

• Round-the-clock trading

• Global network of offices – London, New York, Singapore, Tokyo and Hong Kong

• Portfolio managers with executive decision-making powers

• Highly liquid investments by design




Why Radar: Diversification

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12

Barclays Capital RADAR E GBP MSCI World GBP

Source: Barclays Capital, Bloomberg, Lipper IM as of 31 January 2012. Fund performance calculated as total return net of fees in GBPThe fund start date is 17 February 2009.

• Accessing a portfolio of diversified investment themes

• Downside risk management decorrelating during market downturns

• Offers diversification benefits to investors’ overall portfolios

Radar vs Developed Market Equities

Radar – Investment Process



Radar Investment ProcessPortfolio construction is a two-way interactive, it erative process

• BCFS uses Research ideas1 to create a high conviction, actively managed, absolute return portfolio

• Portfolio construction is not simply a linear implementation of Research views …

• ... It is an iterative process bringing together two distinctive added-value skill sets (BCFS and Barclays Capital Research)

BCFS• Refines into top

conviction investment ideas

• Decides specific allocations

• Decides how to implement

• Creates optimal portfolio

Portfolioconstruction:

BCFS portfolio management

team

1 All research views and trade ideas are those that have been published

Barcap Research

• Communicates trade ideas on economic activities & macro events

• Share global outlook quarterly research ideas

• Share weekly and monthly publications



Proven experience: Strategy track record

Indexed Daily Fund Performance

Source: Barclays Capital, Bloomberg, Lipper IM as of 31 January 2012. Fund performance calculated as total return net of fees in GBPThe fund start date is 17 February 2009.

Investing aggressively during bull markets

Seeking smaller absolute return during turbulent markets



Japanese earthquake (March 2011)

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eb 1

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ar 1

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ar 1

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ar 1

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pr 1

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pr 1

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pr 1

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pr 1

1

Barclays Capital Radar E GBP MSCI World TR GBP

Proven experience: Responding to the unexpected

13 Mar 2011• Earthquake and

tsunami in Tohoku

Mar 2011• Immediately reduced risk

of portfolio – sold equities

Mar 2011• Risk added back in

European Insurance

• Input from Tokyo office and specialists in nuclear physics and catastrophe insurance

Events

Action

Major occurrences at the time

Barclays Capital Research views and BCFS portfolio allocations and actions

Source: Barclays Capital, Bloomberg as of 31 December 2011. Strategy performance is calculated as total return net of fees in GBPPast performance is no indication of future performance.



Proven experience: Insight into instrument selectio n


• Euro swap spreads can be a good proxy for volatility in times of financial stress due to the implicit credit premium inherent in interest rates compared with that of government bonds.

The trade comprised two parts:

• Short 10-year interest rate swaps

• Long 10-year government bonds

10yr EU Swaps Spreads as a Proxy for Volatility

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an 1

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pr 1

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ay 1

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ay 1

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un 1

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ep 1

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an 1

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VIX 10yr EU Swap Spreads (RHS)

Japanese Earthquake

Events Major occurrences at the time



Greece (March 2010 to Oct 2011)

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Barclays Capital Radar E GBP MSCI World TR GBP

Proven experience: Learning from the past

Apr 2010• Signs of trouble in Greece spark sell off• Portfolio follows market down

Apr 2010• Research view –

mid-cycle slowdown• Maintained

exposure to risk assets


Dec 2010• Radar finishes year a

disappointing +3%, with a decline of more than 10% mid-year

Jul 2011• Greece round two, equities fall 10%

May 2011• Radar cuts risk ahead

of market falling with softer data

• Research see echoes of previous year

Aug 2011• Portfolio falls

0.5% in August 2011

• In 2010, we learned the hard way that markets were moving from a fundamental-driven recovery to sentiment-driven volatility

• In 2011, we identified the similarities and responded accordingly

Events

Action

Major occurrences at the time

Barclays Capital Research views and BCFS portfolio allocations and action

17

Dynamic Allocation

Optimised portfolio asset allocations over time – dy namic portfolio management in action

Source: Barclays Capital as of February 2012.The chart shows month end allocation data for the Radar Strategy from 1 March 2009 to 29 February 2012. These allocations exclude cash positions.The Strategy start date is the 17 February 2009.

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

(100%)

(75%)

(50%)

(25%)

0%

25%

50%

75%

100%

125%

150%

175%

200%

Mar

-09

Apr

-09

May

-09

Jun-

09

Jul-0

9

Aug

-09

Sep

-09

Oct

-09

Nov

-09

Dec

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10

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-10

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-10

Apr

-10

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-12

Fixed Income Equities Commodities FX



Radar Investment Process

Barclays Research

BCFS

GovernanceFramework

• Pro-active alerts of market indicator changes

• Immediate access to changes in published Research views

• Global Financial Risk Management team provide independent oversight

• Monitors portfolio risk daily

• Monitors investment and regulatory guidelines

• De-risks portfolio in liaison with Research team as necessary

Rigorous integrated risk management

Radar – Performance

20

Barclays Capital Radar Strategy – Performance

Source: Barclays Capital, Bloomberg, Lipper IM as of 29 February 2012. Strategy performance calculated as total return net of fees in GBP.The Strategy start date is the 17/02/09.Past performance is no indication of future performance. To be in line with standard monthly return statistical calculations, all annualised performance and annualised risk statistics are calculated using full calendar month returns.The line graph chart above is based on calendar month returns.*Annualised

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Indexed Performance Since Inception

Performance in GBP as of 29 February 2012Performance Returns (%) 1M 3M 6M YTD 1 Yr* 3 Yrs* Since Inception*

Radar Strategy -0.75 -0.16 -2.85 -0.68 -4.20 10.84 10.84

Barclays Capital BM Overnight GBP Cash Index 0.04 0.13 0.26 0.08 0.53 0.49 0.49

21

Radar Strategy – Performance and Risk

Performance And Risk in GBP as of 29 February 2012

Monthly Performance (%) in GBP as of 29 February 20 12

Source: Barclays Capital, Bloomberg, Lipper IM as of 29 February 2012. Strategy performance calculated as total return net of fees in GBP.The Strategy start date is the 17/02/09.Past performance is no indication of future performance. To be in line with standard monthly return statistical calculations, all annualised performance and annualised risk statistics are calculated using full calendar month returns.*Annualised

*Return (%)

*Volatility (%)

*Sharpe Ratio

*Return (%)*Volatility

(%)*Sharpe

Ratio*Return

(%)*Volatility

(%)*Sharpe

Ratio

Radar Strategy -4.20 3.73 -1.29 10.84 10.87 0.92 10.84 10.87 0.92

Barclays Capital BM Overnight GBP Cash Index 0.53 0.01 - 0.49 0.01 - 0.49 0.01 -

Since Inception1 Year

Performance & Risk

3 Years

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD

2009 -0.07¹ -0.58 6.31 9.44 -1.33 5.90 2.21 1.85 0.00 3.42 1.77 32.33

2010 -1.63 -0.91 1.25 -1.78 -4.79 -3.48 4.47 -4.36 6.96 3.01 0.86 4.41 3.28

2011 0.61 3.34 0.60 1.40 -1.99 -0.62 -0.23 -0.53 -1.50 0.71 -1.91 0.52 0.28

2012 0.07 -0.75 -0.68

Radar Strategy

Radar – Summary



Radar – Summary

• Aims to deliver positive returns from liquid assets

• Investable access to Barclays Capital views

• Takes advantage of opportunities in all asset classes globally

• Provides diversification to traditional investment products

Radar – Appendix



Barclays Capital Research Idea Generation

1

Long-term trends

Economic forecasting

Quant models

Relative value

Technical analysisMarket correlation

Sector viewsPricing inefficiencies

Long-run forecasts/ regimes

Monetary/fiscal policiesDemographic trends

Forecasting market trends combined with quantitative

analysisNot black box

Forecasting macro trendsAsset class implicationsScenario/regime analysis

Market outlook

Idea generation via multi-layered analysis from Bar clays Capital Research



Fact and Figures

Investment professionals

• A dedicated team of 38 investment professionals

• Access to the in depth knowledge and expertise of analysts across the Barclays Group

Technology

• A uniquely flexible and cutting-edge technology platform with world-class risk management safeguards

Operations

• An experienced team of more than 100 operations professionals

• Offices in London, New York, Singapore, Tokyo, Hong Kong and Sydney

Domestic Fund Platform UCITS Fund Platform BCFS Offices

Resources

*Source: Barclays Capital, as of 29 February 2012.1 Asset under management includes over £13.99 billion in assets managed or sub-advised for other parts of the Barclays Group. 2 This pie chart data excludes the over £13.99 billion in assets managed or sub-advised for other parts of the Barclays Group

AUM by Asset Class *2

Geographic Footprint

Established in 2005, Barclays Capital Fund Solution s (BCFS) manages over £18.23 billion *1

on behalf of clients globally

1%

17%

12%

5% 1%

64%

Alternative Investment

Commodities

Equities

Fixed Income

FX

Multi-Asset



Bespoke Solutions

Multi-Asset Investment Strategies

Thematic Strategies

• Fully quantitative investment process based on a transparent and robust set of rules

• Provides synthetic exposure to thematic indices

• Accesses returns from a range of assets classes including money markets, hedge funds, commodities and currencies

• Focuses on exploiting patterns and inefficiencies of capital markets

• Fundamental and technical analysis applied quantitatively to generate objective investment views on over 70 assets

• Discretionary management oversight to manage sudden changes in market conditions

• Dynamic risk management embedded within investment process, including monthly rebalancing of portfolios, to capture all major sources of market risk

• Fully discretionary investment process

• Fundamental and technical analysis across asset classes and regions, accessing award winning research within the Barclays Group

• Highest conviction ideas distilled to construct optimal portfolios

• Rigorous daily risk management with positions adjusted as necessary

• Tailored investment strategies to meet investors' objectives, from alpha overlays to protected funds

• Matching our strengths to clients who need innovative and institutional-quality solutions, who require capital protection or who are bound by specific investment and tracking error targets

• White-labelling facility and external fund advisory for distributors and private banks

Act

ive

and/

or

Pas

sive

Act

ive

Fully Discretionary StrategiesManaged Quantitative Strategies

Important Information



Important Information

This document is an indicative summary. It has been prepared by Barclays. It is subject to change. This document is for information purposes only and is not binding. We are not offering to sell or seeking offers to buy any Strategy. Any transaction requires our subsequent formal agreement which will be subject to internal approvals and binding transaction documents.

Obtain independent professional advice before investing. We are not recommending or making any representations as to suitability of any Strategy. Counterparties (which may include, without limitation, Barclays), their affiliates and associated personnel may act in several capacities in financial instruments which may adversely affect the Strategy’s performance.

Any past performance or simulated past performance contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any pricing information, performance data or modelling in these materials.

We are not responsible for information stated to be obtained or derived from third party sources or statistical services. No part of this document may be reproduced, distributed or transmitted without Barclays’ written permission. Barclays may disclose any information relating to your investment which is required by regulators. Barclays will not be liable for any use you make of any information in this document.

Barclays Capital is the investment banking division of Barclays Bank PLC. Barclays Bank PLC is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP.

Copyright Barclays Bank PLC, 2012 (all rights reserved).



Risk Factors

THESE RISK FACTORS HIGHLIGHT ONLY SOME OF THE RISKS OF THE STRATEGY DESCRIBED IN THIS DOCUMENT

Barclays’ rating is not a recommendation as to Barclays’ creditworthiness or the risks, returns or suitability of the Strategies.

THE STRATEGIES MAY BE VOLATILE. The level of change in value of a particular Strategy is its “volatility”. A Strategy’s volatility may be affected by performance of the underlying assets, along with financial, political and economic events and other market conditions.

TAX MAY APPLY. Payments from a particular Strategy may be subject to tax, withholding and other deductions.

STRATEGIES DESCRIBED TYPICALLY COMBINE INVESTMENT TYPES. Different types of financial risk may interact unpredictably, particularly in times of market stress.

THIS DOCUMENT CANNOT DISCLOSE ALL POSSIBLE RISKS OF THE Strategies. Before investing, you must satisfy yourself that you fully understand the risks of that particular investment.

Before investing, you should read the investment guidelines. The manager’s fees are paid from assets under management and will reduce the return on the Strategy.

All opinions and estimates are given as of the date hereof and are subject to change.

The Strategies are collateralised to the extent required to ensure compliance with applicable laws and regulations. However if a counterparty does not post collateral to a Strategy as and when required, that Strategy may terminate the transaction(s) with such counterparty and the Strategy may suffer significant losses as a result.

Furthermore, since the Strategy bears counterparty’s credit risk, if a counterparty becomes insolvent the Strategy may not be able to meet all its payment obligations.



Important InformationTHIS FINANCIAL PRODUCT IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MORGAN STANLEY CAPITAL INTERNATIONAL INC. (“MSCI”), ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY BARCLAYS BANK PLC. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THIS FINANCIAL PRODUCT OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THIS FINANCIAL PRODUCT PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THIS FINANCIAL PRODUCT OR THE ISSUER OR OWNER OF THIS FINANCIAL PRODUCT. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THIS FINANCIAL PRODUCT INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THIS FINANCIAL PRODUCT TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THIS FINANCIAL PRODUCT IS REDEEMABLE FOR CASH. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF THIS FINANCIAL PRODUCT IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT. ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, LICENSEE’S CUSTOMERS OR COUNTERPARTIES, ISSUERS OF THE FINANCIAL SECURITIES, OWNERS OF THE FINANCIAL SECURITIES, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND MSCI, ANY OF ITS AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

The Radar Strategy is not sponsored, endorsed, sold or promoted by Standard & Poor's Financial Services LLC (“S&P”) or its third party licensors. Neither S&P nor its third party licensors makes any representation or warranty, express or implied, to the owners of the Radar Strategy or any member of the public regarding the advisability of investing in securities generally or in the Radar Strategy particularly or the ability of the S&P 500 TR (the “Index”) to track general stock market performance. S&P's and its third party licensor’s only relationship to Barclays Bank PLC is the licensing of certain trademarks and trade names of S&P and the third party licensors and of the Index which is determined, composed and calculated by S&P or its third party licensors without regard to Barclays Bank PLC or The Radar Strategy. S&P and its third party licensors have no obligation to take the needs of Barclays Bank PLC or the owners of the Radar Strategy into consideration in determining, composing or calculating the Index. Neither S&P nor its third party licensors is responsible for and has not participated in the determination of the prices and amount of the Radar Strategy or the timing of the issuance or sale of the Radar Strategy or in the determination or calculation of the equation by which the Radar Strategy is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Radar Strategy.

NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.

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