March 2012Barclays Capital RadarResearch Analysis Driven Absolute Return StrategyGlobal Research in actionBarclays Capital...
Contents• Radar Overview• Radar Investment Team• Key Benefits• Why Radar• Radar Investment Process• Performance• Summary• ...
Radar – OverviewResearch Analysis Driven Absolute Return
Barclays Capital Radar – Strategy Overview    Key Features                                                                ...
Radar Investment Team Jason Smith: Senior Portfolio Manager                       Ian Mizrahi: Senior Portfolio Manager   ...
Barclays Radar Strategy – Key benefits• Access to the investment ideas published by Barclays Capital Research• Harnesses t...
Why Radar: Accessing Barclays Capital Research capabilities• Over 750 analysts• Award-winning research• Global presence• C...
Why Radar: Expert portfolio management from BCFS• Ability to take advantage of opportunities across the globe in all asset...
Why Radar: Flexible strategy that can react nimbly to any challenge• Round-the-clock trading• Global network of offices – ...
Why Radar: DiversificationRadar vs Developed Market Equities                                                              ...
Radar – Investment Process
Radar Investment ProcessPortfolio construction is a two-way interactive, iterative process• BCFS uses Research ideas1 to c...
Proven experience: Strategy track recordIndexed Daily Fund Performance                  Investing aggressively during     ...
Proven experience: Responding to the unexpectedJapanese earthquake (March 2011) 104                                       ...
Proven experience: Insight into instrument selection10yr EU Swaps Spreads as a Proxy for Volatility                       ...
Proven experience: Learning from the past                                                                      May 2011   ...
Dynamic Allocation Optimised portfolio asset allocations over time – dynamic portfolio management in action 200% 175% 150%...
Radar Investment ProcessRigorous integrated risk management                                                               ...
Radar – Performance
Barclays Capital Radar Strategy – PerformanceIndexed Performance Since InceptionPerformance in GBP as of 29 February 2012P...
Radar Strategy – Performance and RiskPerformance And Risk in GBP as of 29 February 2012                                   ...
Radar – Summary
Radar – Summary• Aims to deliver positive returns from liquid assets• Investable access to Barclays Capital views• Takes a...
Radar – Appendix
Barclays Capital Research Idea GenerationIdea generation via multi-layered analysis from Barclays Capital Research   Long-...
Fact and FiguresEstablished in 2005, Barclays Capital Fund Solutions (BCFS) manages over £18.23 billion*1on behalf of clie...
Multi-Asset Investment Strategies                          Managed Quantitative Strategies                                ...
Important Information
Important InformationThis document is an indicative summary. It has been prepared by Barclays. It is subject to change. Th...
Risk FactorsTHESE RISK FACTORS HIGHLIGHT ONLY SOME OF THE RISKS OF THE STRATEGY DESCRIBED IN THISDOCUMENTBarclays’ rating ...
Important InformationTHIS FINANCIAL PRODUCT IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MORGAN STANLEY CAPITAL INTERNA...
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  1. 1. March 2012Barclays Capital RadarResearch Analysis Driven Absolute Return StrategyGlobal Research in actionBarclays Capital Fund SolutionsThe asset management business of Barclays CapitalFor 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.
  2. 2. Contents• Radar Overview• Radar Investment Team• Key Benefits• Why Radar• Radar Investment Process• Performance• Summary• Appendix• Important Information For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 2
  3. 3. Radar – OverviewResearch Analysis Driven Absolute Return
  4. 4. Barclays Capital Radar – Strategy Overview Key Features Positive absolute returns Target Target Return over a 12-month period in Performance all market environments• Targets positive absolute returns in all conditions Performance• Firm grip on volatility Key Strategy Launch Date 17 February 2009• Multi-asset global macro strategy Facts Classification Global Macro• Benefits from independent Barclays Capital Research expertise in economic and market Regional Coverage Global analysis Cash, equities, bonds Instruments Used futures, liquid OTCs1• Harnesses tactical asset allocation and execution by Barclays Capital Fund Solutions (BCFS) Liquidity Daily• Rigorous investment process and strict governance Diversification Multi-Asset• Focuses on liquid securities VaR constrained Market Exposure leverage• Strategy managers: Jason Smith, Ian Mizrahi Historical volatility 10-12% per annum Strategy AUM2 GBP 26.4m1 Over The Counter instruments comprise mainly interest rate swaps.2 Source: Barclays Capital, as of 29 February 2012 For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 4
  5. 5. Radar Investment Team Jason Smith: Senior Portfolio Manager Ian Mizrahi: Senior Portfolio Manager Jeff Ludwig: Senior Portfolio Manager Jason Smith is a Senior Portfolio Ian Mizrahi is the Head of Prior to joining BCFS in 2012, Jeff Manager responsible for the Portfolio Management and was a director in the commodities management of BCFS’ Structuring for BCFS. Prior to algorithmic trading group at discretionary fund range, including joining Barclays Capital, he Barclays Capital. Previously, Jeff Radar and its fund-of-funds range. headed the Structured managed fixed income strategies He was previously a Senior Commodities and Multi-Asset at Millennium Partners, served as Portfolio Manager at BlackRock, trading desks at Bear Stearns. head of equity derivatives and where he actively managed a Prior to that, he worked as a portfolio manager at PIMCO andnumber of high profile absolute return funds. Jason cross-asset exotics trader for Deutsche Bank and was a proprietary trader at CSFB. Jeff has 17 yearsSmith has over 15 years’ investment experience as an investment banker for Royal Bank of of investment experience and holds a PhD and aand holds a BA (Hons) in Banking from London Canada. Ian Mizrahi graduated Valedictorian Masters degree in Electrical Engineering & ComputerGuildhall University and a Postgraduate Diploma from the INSEAD MBA programme in France. He Science from the Massachusetts Institute ofin Artificial Intelligence from the University of holds an MS degree in Economic Systems and Technology. He also has an undergraduate degree inWestminster Aeronautics & Astronautics from MIT. Operations Research from Stanford University, and Engineering degrees in Telecommunications and Computer Science. Radar Monthly Research Forum• 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. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 5
  6. 6. 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 For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 6
  7. 7. Why Radar: Accessing Barclays Capital Research capabilities• Over 750 analysts• Award-winning research• Global presence• Coverage of every region and asset class All-Europe Fixed Income Based on the votes of the world’s Based on the votes of the world’s largest 100 asset managers by AUM largest 100 asset managers by AUM Research Poll #1 Supranational & Agencies #1 General Industries #2 Asset-Backed #1 Overall Trade Ideas #1 Securitisation & Securities Strategy Index Innovation of the Year for the second consecutive year Asset-Backed Securities #3 Economics For the second consecutive year: #1 TMT #3 Quantitative Analytics #1 Sovereigns August 2011 August 2011 February 2011 May 2011 For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 7
  8. 8. 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 For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 8
  9. 9. 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 For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 9
  10. 10. Why Radar: DiversificationRadar vs Developed Market Equities • Accessing a portfolio of125 diversified investment themes120 • Downside risk management115 decorrelating during market110 downturns105100 • Offers diversification benefits to investors’ overall portfolios 95 90 85 80 31/05/2010 10/07/2010 19/08/2010 28/09/2010 07/11/2010 17/12/2010 26/01/2011 07/03/2011 16/04/2011 26/05/2011 05/07/2011 14/08/2011 23/09/2011 02/11/2011 12/12/2011 21/01/2012 Barclays Capital RADAR E GBP MSCI World GBPSource: 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. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 10
  11. 11. Radar – Investment Process
  12. 12. Radar Investment ProcessPortfolio construction is a two-way interactive, iterative 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) Barcap Research BCFS • Communicates • Refines into top trade ideas on conviction economic activities investment & macro events ideas • Share global Portfolio • Decides outlook quarterly construction: specific research ideas BCFS portfolio allocations • Share weekly management and monthly • Decides how to publications team implement • Creates optimal portfolio1 All research views and trade ideas are those that have been published For institutional and professional investors only. For information only. 12 Not for further distribution or distribution to retail investors 12
  13. 13. Proven experience: Strategy track recordIndexed Daily Fund Performance Investing aggressively during bull markets Seeking smaller absolute return during turbulent marketsSource: 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. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 13
  14. 14. Proven experience: Responding to the unexpectedJapanese earthquake (March 2011) 104 • Input from Tokyo office and 102 13 Mar 2011 • Earthquake and specialists in nuclear physics tsunami in Tohoku and catastrophe insurance 100 98 96 Mar 2011 • Risk added back in 94 European Insurance Mar 2011 92 • Immediately reduced risk of portfolio – sold equities 90 28 Feb 11 05 Mar 11 10 Mar 11 15 Mar 11 20 Mar 11 25 Mar 11 30 Mar 11 04 Apr 11 09 Apr 11 14 Apr 11 19 Apr 11 Barclays Capital Radar E GBP MSCI World TR GBP Major occurrences at the time Events Barclays Capital Research views and Action BCFS portfolio allocations and actionsSource: 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. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 14
  15. 15. Proven experience: Insight into instrument selection10yr EU Swaps Spreads as a Proxy for Volatility • Euro swap spreads can be a 54 90 good proxy for volatility in times 49 80 of financial stress due to the 44 implicit credit premium inherent 70 Japanese in interest rates compared with 39 Earthquake 60 that of government bonds. 34 50 The trade comprised two parts: 29 24 40 • Short 10-year interest rate swaps 19 30 • Long 10-year government bonds 14 20 03 Jan 11 24 Jan 11 14 Feb 11 07 Mar 11 28 Mar 11 09 May 11 30 May 11 20 Jun 11 11 Jul 11 03 Oct 11 24 Oct 11 14 Nov 11 05 Dec 11 26 Dec 11 16 Jan 12 06 Feb 12 27 Feb 12 12 Sep 11 18 Apr 11 01 Aug 11 22 Aug 11 VIX 10yr EU Swap Spreads (RHS) Events Major occurrences at the timeSource: 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. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 15
  16. 16. Proven experience: Learning from the past May 2011 Jul 2011 • Radar cuts risk ahead • Greece round two, Greece (March 2010 to Oct 2011) Apr 2010 of market falling with equities fall 10% softer data Apr 2010 • Research view – mid-cycle slowdown • Research see echoes • In 2010, we learned the hard way that • Signs of trouble in • Maintained of previous year markets were moving from a120 Greece spark sell exposure to risk fundamental-driven recovery to off assets115 • Portfolio follows sentiment-driven volatility market down • In 2011, we identified the similarities110 and responded accordingly105100 Dec 2010 • Radar finishes year a Aug 2011 disappointing +3%, with • Portfolio falls95 a decline of more than 0.5% in 10% mid-year August 201190 Barclays Capital Radar E GBP MSCI World TR GBP Major occurrences at the time Events Barclays Capital Research views and Action BCFS portfolio allocations and action Source: Barclays Capital, Bloomberg as of 31 December 2011. Strategy performance is calculated as total return net of fees in GBP Past performance is no indication of future performance. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 16
  17. 17. Dynamic Allocation Optimised portfolio asset allocations over time – dynamic portfolio management in action 200% 175% 150% 125% 100% 75% 50% 25% 0% (25%) (50%) (75%)(100%) Mar-09 May-09 Jun-09 Jul-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 May-10 Jun-10 Jul-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 May-11 Jun-11 Jul-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Sep-09 Sep-10 Sep-11 Apr-09 Aug-09 Apr-10 Aug-10 Apr-11 Aug-11 Fixed Income Equities Commodities FXSource: 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. 17 Not for further distribution or distribution to retail investors
  18. 18. Radar Investment ProcessRigorous integrated risk management • Monitors portfolio risk daily • Monitors investment and regulatory guidelines• Pro-active alerts of • De-risks portfolio in liaison market with Research team as indicator changes BCFS necessary• Immediate access Barclays to changes in published Research Research views Governa • Global Financial Risk Management team nce Framewo provide independent oversight rk For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 18
  19. 19. Radar – Performance
  20. 20. Barclays Capital Radar Strategy – PerformanceIndexed Performance Since InceptionPerformance 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 10.84Barclays Capital BM Overnight GBP Cash Index 0.04 0.13 0.26 0.08 0.53 0.49 0.49Source: 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. 20 Not for further distribution or distribution to retail investors
  21. 21. Radar Strategy – Performance and RiskPerformance And Risk in GBP as of 29 February 2012 1 Year 3 Years Since InceptionPerformance & Risk *Return *Volatility *Sharpe *Volatility *Sharpe *Return *Volatility *Sharpe *Return (%) (%) (%) Ratio (%) Ratio (%) (%) RatioRadar Strategy -4.20 3.73 -1.29 10.84 10.87 0.92 10.84 10.87 0.92Barclays Capital BM Overnight GBP Cash Index 0.53 0.01 - 0.49 0.01 - 0.49 0.01 -Monthly Performance (%) in GBP as of 29 February 2012 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 3.28Radar Strategy 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 -0.68Source: 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 21
  22. 22. Radar – Summary
  23. 23. 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 For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 23
  24. 24. Radar – Appendix
  25. 25. Barclays Capital Research Idea GenerationIdea generation via multi-layered analysis from Barclays Capital Research Long-run forecasts/ Forecasting macro trends regimes Asset class implications Monetary/fiscal policies Scenario/regime analysis Demographic trends Market outlook Long-term trends Economic forecasting 1 Relative value Technical analysis Quant models Market correlation Forecasting market trends Sector views combined with quantitative Pricing inefficiencies analysis Not black box For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 25
  26. 26. Fact and FiguresEstablished in 2005, Barclays Capital Fund Solutions (BCFS) manages over £18.23 billion*1on behalf of clients globallyResources AUM by Asset Class *2Investment professionals• A dedicated team of 38 investment professionals 5% 1% Alternative Investment 12% Commodities• Access to the in depth knowledge and expertise of analysts across the Barclays Group EquitiesTechnology 17% Fixed Income• A uniquely flexible and cutting-edge technology platform 64% FX with world-class risk management safeguards 1% Multi-AssetOperations• An experienced team of more than 100 operations professionals Geographic Footprint• Offices in London, New York, Singapore, Tokyo, Hong Kong and Sydney Domestic Fund Platform UCITS Fund Platform BCFS Offices*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 For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 26
  27. 27. Multi-Asset Investment Strategies Managed Quantitative Strategies Fully Discretionary Strategies • Fundamental and technical analysis applied • Fully discretionary investment process quantitatively to generate objective investment views • Fundamental and technical analysis across assetActive on over 70 assets classes and regions, accessing award winning • Discretionary management oversight to manage research within the Barclays Group sudden changes in market conditions • Highest conviction ideas distilled to construct optimal • Dynamic risk management embedded within portfolios investment process, including monthly rebalancing of • Rigorous daily risk management with positions portfolios, to capture all major sources of market risk adjusted as necessary Bespoke Solutions Thematic StrategiesActive and/or • Tailored investment strategies to meet investors • Fully quantitative investment process based on a Passive objectives, from alpha overlays to protected funds transparent and robust set of rules • Matching our strengths to clients who need innovative • Provides synthetic exposure to thematic indices and institutional-quality solutions, who require capital • Accesses returns from a range of assets classes protection or who are bound by specific investment and including money markets, hedge funds, commodities tracking error targets and currencies • White-labelling facility and external fund advisory for • Focuses on exploiting patterns and inefficiencies of distributors and private banks capital markets For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 27
  28. 28. Important Information
  29. 29. Important InformationThis document is an indicative summary. It has been prepared by Barclays. It is subject to change. This documentis for information purposes only and is not binding. We are not offering to sell or seeking offers to buy anyStrategy. Any transaction requires our subsequent formal agreement which will be subject to internal approvalsand binding transaction documents.Obtain independent professional advice before investing. We are not recommending or making anyrepresentations 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 adverselyaffect the Strategy’s performance.Any past performance or simulated past performance contained herein is no indication as to futureperformance. No representation is made as to the reasonableness of the assumptions made within or the accuracyor 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 statisticalservices. No part of this document may be reproduced, distributed or transmitted without Barclays’ writtenpermission. 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 andregulated by the UK Financial Services Authority and a member of the London Stock Exchange. Barclays BankPLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP.Copyright Barclays Bank PLC, 2012 (all rights reserved). For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 29
  30. 30. Risk FactorsTHESE RISK FACTORS HIGHLIGHT ONLY SOME OF THE RISKS OF THE STRATEGY DESCRIBED IN THISDOCUMENTBarclays’ rating is not a recommendation as to Barclays’ creditworthiness or the risks, returns or suitability of theStrategies.THE STRATEGIES MAY BE VOLATILE. The level of change in value of a particular Strategy is its “volatility”. AStrategy’s volatility may be affected by performance of the underlying assets, along with financial, political andeconomic 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 mayinteract unpredictably, particularly in times of market stress.THIS DOCUMENT CANNOT DISCLOSE ALL POSSIBLE RISKS OF THE Strategies. Before investing, you mustsatisfy 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 undermanagement 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 terminatethe 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 Strategymay not be able to meet all its payment obligations. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 30
  31. 31. Important InformationTHIS FINANCIAL PRODUCT IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MORGAN STANLEY CAPITAL INTERNATIONAL INC. (“MSCI”), ANY AFFILIATE OF MSCI OR ANYOTHER 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 INDEXNAMES 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 ITSAFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS ORIMPLIED, TO THE OWNERS OF THIS FINANCIAL PRODUCT OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLYOR IN THIS FINANCIAL PRODUCT PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARETHE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCIWITHOUT REGARD TO THIS FINANCIAL PRODUCT OR THE ISSUER OR OWNER OF THIS FINANCIAL PRODUCT. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTYINVOLVED 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 PRODUCTINTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATEDTO, MAKING OR COMPILING ANY MSCI INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THISFINANCIAL PRODUCT TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THIS FINANCIAL PRODUCT IS REDEEMABLE FOR CASH. NEITHERMSCI, 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 THEOWNERS OF THIS FINANCIAL PRODUCT IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT. ALTHOUGH MSCI SHALL OBTAININFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITSAFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/ORTHE 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 ORCOUNTERPARTIES, ISSUERS OF THE FINANCIAL SECURITIES, OWNERS OF THE FINANCIAL SECURITIES, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEXOR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHERPARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR INCONNECTION 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 ANYOTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL ORANY 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 & Poors Financial Services LLC (“S&P”) or its third party licensors. Neither S&P nor its third party licensors makes anyrepresentation 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 Strategyparticularly or the ability of the S&P 500 TR (the “Index”) to track general stock market performance. S&Ps and its third party licensor’s only relationship to Barclays Bank PLC is the licensing ofcertain 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 BarclaysBank 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 thetiming 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 inconnection 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 DATAINCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITHRESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS ORDELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULARPURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALLS&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOTLIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER INCONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors 31

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