Income plus eur apr 2010 e golosov

1

For Institutional and Professional Investors OnlyFor Information OnlyNot For Further Distribution or Distribution to Retail Investors

Barclays Capital Fund SolutionsProviding investors with truly value-added investment solutions

April 2010

Income Plus (EUR) StrategyEnhanced real return in changing markets


2

For Institutional and Professional Investors OnlyFor Information OnlyNot For Further Distribution or Distribution to Retail InvestorsContents

BCFS Overview

Income Plus (EUR) Overview

Investment Methodology

Distinctive Performance in Different Market Conditions

Points to Note

3


Value Proposition

Barclays Capital Fund Solutions About us

Multiple sources of excess returns

Active strategiesStructured strategies

Negligible key man risk

Investment Performance

Bespoke portfolio construction

Tailored delivery structuring

Customized solutions

Fiduciary duty

Strict governance

Chinese walled from all other Barclays businesses

Operating under investor-protective regulatory framework

Segregated assets with best of breed administration and auditing

Security

Providing investors with

truly value-added investment solutions

by combining the strengths of asset management and investment banking

Mission

Barclays Capital Fund Solutions is the

asset management business of Barclays Capital, the investment banking division of Barclays Bank PLC, offering investors a full range of standard and tailor-made investments

4


Applying…

Distinctive Alpha Generation

Combining fundamental analysis with technical analysis and having discretionary management oversight

Monetizing on award-winning research

Effective portfolio liquidity management – realizable gains

Making use of liquid underlyings

Drawing on the extensive derivatives trading expertise

Unique downside risk management and active diversification management

Applying proprietary Distribution Mapping approach

Bringing into play dynamic risk management

Applying proprietary Correlation Optimization model

Barclays Capital Fund Solutions BCFS alpha generation –

investment philosophy

… to achieve

A proven track record of delivering liquid excess returns and minimizing downside volatility in all market conditions

Delivering distinctive returns with low downside volatility

Generating positively skewed returns with limited correlation with traditional and alternative assets – positive returns across strategies in 2008

Shifting the efficient frontier outwards improving the risk/return profile of the investors

Identifying and extracting returns by combining thorough fundamental analysis with technical analysis and having discretionary management oversight

Creating highly liquid investment strategies

Reducing downside and diversifying across a broad range of assets

BCFS Alpha Generation Investment Philosophy

5


Barclays Capital Fund Solutions Facts and Figures

Where BCFS utilises Barclays Capital this is always at an arms length basis.As of March 2010Source: Barclays Capital

AUM by asset classAssets Under Management

Investment ProfessionalsDedicated team of 34 peopleLeveraging 200 structuring professionalsAccessing 800 in-house research analysts

TechnologyUniquely flexible platformWorld-class banking risk managementCutting-edge asset management technology

OperationsFive locations (London, New York, Singapore, Tokyo, Sydney)Dedicated team of 50 people in infrastructureLeveraging the full infrastructure of the bankThird-party auditing and reconciliation

A global asset manager offering a platform that can distribute domestic funds into all major jurisdictions

Geographic footprintResources

14%

23%

2%

5%

56%

Equities Commodities Fixed Income Other Multi Asset

814

2,505

3,500

3,931 4,224

0

500

1000

1500

2000

2500

3000

3500

4000

4500

2006 2007 2008 2009 2010

GB

P (m

illio

ns)

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Algorithmic Strategies

Barclays Capital Fund Solutions Summary of Flagship Strategies

Performance data from Jan 05 to Mar 10 for all strategies except

RADAR (USD) which is from Jan 06 to Mar 10 (when the first GAA report was published). Includes back-testing for period prior to inception. CAR L/S (EUR) live since Aug 07, Income Plus (EUR) live since Oct 06, Income Plus (USD) live since Feb 07, CORALS (USD) since Feb 08, TAP4 (EUR) since Mar 08, RADAR (USD) since Mar 09, EMERALDS (USD) since Nov 09, FX Elements (EUR) since Jan 09, GEMS (USD) since Jul 06, Pure Beta (USD) live since Nov 07 and GSART (EUR) since Jan 07.DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AGSource: Barclays Capital, based on data available on Bloomberg, as of Mar 10Any prediction or data on past performance, modelling or back-testing contained herein is not indication as to future performance.

TAP4

Active Strategies

Target Return

Multi asset

Outperform Money Market

Absolute Return

Outperform Inflation

CAR L/S Income Plus (EUR)

RADAR

Commodities CORALS

S&P 500 stocks EMERALDS

Outperform Beta index

Emerging Markets

Foreign Exchange

Commodities

FX Elements

GEMS

Pure Beta

Income Plus (USD)

TAP4

RADAR

CORALS

Income Plus (EUR)EMERALDS

iBoxx

CAR L/S

Eurostoxx

50

S&P 500

GS ART (EUR)

HFRX DJUBSCI TR

EU Govt infl

RICI

S&P GSCI

EUR 1M Libor

CS Tremont HF

FX Elements

-5%

0%

5%

10%

15%

20%

0% 5% 10% 15% 20% 25% 30%

Volatility %Re

turn

%

BCFS Active strategies

Market Benchmarks

Sharpe ratio =1

Pure Beta

Income Plus (USD)

GEMS

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BCFS Overview




Points to Note

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For Institutional and Professional Investors OnlyFor Information OnlyNot For Further Distribution or Distribution to Retail InvestorsIncome Plus (EUR) Strategy Overview

*The portfolio managers always respect the 70/30 allocation in the Strategy**AUM as of Mar 10Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.

Income Plus (EUR) is a long only unleveraged strategy that aims to provide a real solution in inflationary, deflationary and sideways economic environments

Key

facts

6-8% net per annum

5-7% per annum

Target

Performance

Return

Volatility

Investment PhilosophyWe believe in generating attractive returns by timely rebalancing a long-only portfolio of bonds, commodities and money market instruments to profit from different market conditions.

Investment ProcessThe strategy is always invested 70% into

fixed sovereign bonds (nominal and inflation bonds) and 30% into a combination of commodities and money markets.

The portfolio managers combine thorough fundamental analysis with technical analysis and change the weight in each asset class to take advantage of changes in the inflationary environment.*

Global

Swaps, bonds, ETFs

Daily

Monthly

Capped at 100%

Regional Coverage

Instruments Used

Liquidity

Turnover

Market Exposure

Multi-Asset Long Only Classification

Fixed income, commodities and money marketsDiversification

GBP 21 MillionAUM**

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Income Plus (EUR) has shown a solid performance with an annualised return of 9%, out-performing EU Government Inflation Linked Bonds by 5%.

At the same time, Income Plus (EUR) managed to maintain relatively low risk with a volatility of 7% for the whole period.

Income Plus (EUR) Performance from Jan 2005 to Mar 2010

Pro-forma data Jan 05 –

Sep 06, live performance since Oct 06 to Mar 10.Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10.DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG

Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.

Income Plus (EUR) Strategy Overview Compelling Performance

Monthly

Annualised Volatility

Annualised Return

LivePro Forma

70

90

110

130

150

170

190

Dec-0

4M

ar-0

5Jun-0

5Sep

-05

Dec-0

5M

ar-0

6Jun-0

6Sep

-06

Dec-0

6M

ar-0

7Jun-0

7Sep

-07

Dec-0

7M

ar-0

8Jun-0

8Sep

-08

Dec-0

8M

ar-0

9Jun-0

9Sep

-09

Dec-0

9M

ar-1

0

Income Plus (EUR)

DJUBSCI TR

EU Govt Inflation linked Bonds

iBoxx

Eur

Sov

All Mat 9% 7%

4% 4%4% 5%

1% 20%

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BCFS Overview




Points to Note

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Fundamental

Analysis

Technical

Analysis

Barclays Alpha

Variance

Investment Methodology Combining Fundamental & Technical Analysis

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0%

100%

200%

300%

400%

500%

Dec-00

Jun-0

1

Dec-01

Jun-0

2

Dec-02

Jun-0

3

Dec-03

Jun-0

4

Dec-04

Jun-0

5

Dec-05

Jun-0

6

Dec-06

Jun-0

7

Dec-07

Jun-0

8

Dec-08

Crude Investment

Crude Inflation Strategy

Demonstrated potential of Inflation Gap as fundamental indicator of crude price

Strategy: if Inflation Gap (Difference of 1Y and 10Y ahead inflation expectation released by Philadelphia Fed each month) is positive, invest in crude, else don’t

Outcome: strategy outperforms buy and hold strategy in crude by over 17% per annum

Macro signals identify “Unsystematic”

crises

Macro signals identify fundamental value

Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10.Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.


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The importance of momentum investing: Fundamental analysis is rarely sufficient by itself

Source: Bloomberg

*The recommendations used are for illustration purposes only, and may not be representative of all historical recommendationsAny prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.

“Buy”

recommendations based

on fundamentals when

the market is being sold*


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The importance of momentum investing: Technical Analysis of peaks, troughs and turning points is key to

consolidating performance

Source: BloombergAny prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.

The Relative Strength Index is one out of many indicators that help validating such turning points.

The Relative Strength Index


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The strategy factors in global growth, momentum, mean reversion and fundamental attributes to forecast the expected performance of individual assets for the forthcoming month.

The optimisation model seeks to maximise returns per unit of risk of the overall portfolio


The strategy factors in global growth, momentum, mean reversion and fundamental attributes to forecast the expected performance of individual assets for the forthcoming month.

The optimisation model seeks to maximise returns per unit of risk of the overall portfolio

Fundamental

Analysis

Technical

Analysis

The portfolio managers collect data on fundamental and technical indicators that drive asset returns (over 6,000 indicators in total)

Step 1 Step 2

The portfolio managers thoroughly analyse the indicators and indentify key drivers of market trends and expected returns for each asset

Key Fundamental Drivers

Key Technical

Drivers

Step 3

The portfolio managers build a diversified portfolio that maximizes risk-weighted returns based on expected returns and correlation.

Portfolio composition Fundamental and Technical Indicators

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Example of indicators used in the Fundamental Analysis

Forward-looking fundamental forecast is calculated based on the regression model using

the selected indicators

Example of indicators used in the Technical Analysis

Expected market direction is generated from the regression model using the selected indicators

•

Inflation •

GDP Data•

Employment

MACRO•

Yield Curve Steepness

•

Commodities Roll Yield

•

PE ratio

Market Data

•

PMI•

Consumer Confidence

•

Investor Sentiment

Survey Data

•

Yield Forecast•

Earning Forecast

Leading Factor

•

Hedge Funds’

Position•

Exchange-total position

Position

•

LME Inventory•

OPEC Production•

DOE strategic reserves

Fundamental

•

Relative Strength Index

•

Moving Average

Trend

•

Trade Volume•

Open Interest

Demand-Supply

•

10-day Volatility•

Implied Volatility

Risk Aversion

•

Oscillator•

MACD*

Mean Reversion

*Moving Average Convergence/Divergence


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Fundamental Analysis

Forecast Signal

Eurozone Sov. Bonds -1% Short

EUR Inflation Bonds -2.3% Short

Energy 5.5% Long

Precious Metals -2.5% Short

Industrial Metals 11% Long

All Agricultures -4.7% Short

EUR Money Market 0.3% Long

Expected Return-0.5% (scaled)

-2.3%

2.25% (scaled)

-2.5%

1.1% (scaled)

-0.47% (scaled)

0.3%

SignalNeutral

Short

Neutral

Short

Short

Long

Long

Technical Analysis Expected Returns

Expected returns are generated for

each asset and used within the asset allocation

engine

“Combining these [Fundamental and Technical analyses] improves trading signals by identifying undervalued assets and trading at best opportunity, provides a stop-loss mechanism and captures both macroeconomic trend and market psychology”

Sree

Kochugovindan in Send in the Clones, Equity Gilt Study 2007

Example of Validating Methodology

This is a model portfolio used for illustrative purposes only. The forecasts will change every month. No representation is being

made that these estimates are accurate or appropriate.


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Theo Nijman and Laurens Swinkles (Feb 2003, Strategic and Tactical Allocation to Commodities for retirement savings schemes)have illustrated the usefulness of Mean-Variance Optimisation framework to tactically allocate commodities in pension fund portfolios. They concluded that

Inclusion of commodities improve mean-variance efficient frontier; this outward shift is statistically significantThe power utility functions that capture non-normalities of returns do not affect the results generated from Mean-Variance framework

Portfolio Optimisation

Model

Utilises

combination of Mean Variance framework, Black Litterman

architecture, and VaR

based algorithm)

Asset Allocation Weight

Forward Looking Expected Return

Historical Variance-Covariance Matrix

Calculated based on

the historical data

Each Underlying Portfolio

Portfolio Volatility

Portfolio Expected Return

Optimisation ProcessOptimisation Process

Asset Allocation Weights Are Executed by the Trading Desk

Investment Methodology Optimizing the portfolio

The optimisation model seeks to maximise returns per unit of risk of the overall portfolio within defined constraints to allocate fixed 70% exposure to treasury bonds or inflation-linked bonds and maximum 30% exposure to commodities.

When the commodity markets are unattractive, the model allocates up to 30% exposure to Money Market.The optimisation model generates a long-only allocation with an exposure of 100%

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The process is simple and repeated monthly

As of today it is a unique model that combines Fundamental Economic data with Technical data

The latter doesn’t govern the direction of the investment, but does affects the size

of the allocation

Forward Looking Expected Return

Var-Covariance Matrix

Optimal Allocation

AllocationConstraints

HistoricalData

FundamentalIndicators

TechnicalIndicators

Long \ Short

Daily Downside Risk

Control

Investment Methodology Summary

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The Income Plus (EUR) Strategy provides a real solution in inflationary, deflationary and sideways moving markets.

It combines investment in EU government bonds, inflation linked bonds, commodities and cash and extracts value by switching between these asset classes to maximise risk-adjusted returns.

The Income Plus (EUR) Strategy rebalances on a monthly basis

Through its allocation methodology the strategy seeks to avoid the risks of negative real yield and minimises the impact of commodity volatility

Investment Methodology Income Plus (EUR) asset classes

70% 30%

Fixed Income Commodities and Money Market

Take advantage of inflation

Gain protection to deflation Reduce Volatility

EU Inflation Linked Bonds

EU Sovereign Bonds Money Market

EnergyPrecious MetalsIndustrial MetalsAll Agricultures

Take advantage of commodity price increases

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Assets Category Min Weight Max Weight

Eurozone

Sov Bonds All Mat TR Fixed Income 0% 50%

EU Inflation Bonds All Mat Fixed Income 0% 50%

Total Fixed Income 70% 70%

Energy Commodities 0% 30%

Precious Metals Commodities 0% 30%

Industrial Metals Commodities 0% 30%

All Agricultures Commodities 0% 30%

EUR Money Market Money Market 0% 30%

Total Commodities and Money Market 30% 30%

Investment Methodology Income Plus (EUR) assets and weightings

22


BCFS Overview




Points to Note

23


Performance (Jan 05 –

Mar 10) Key Performance Indicators (as

of Mar 10)

LivePro Forma

Key Performance Indicators (as of March 2010)

Income Plus

(EUR)DJUBSCI

TR


iBoxx

Eur

Sov

All Mat

Annualised net return since Jan 05 9.3% 0.9% 3.7% 4.3%

Monthly annualised volatility since Jan 05 6.6% 20.2% 5.1% 3.5%

Sharpe Ratio since Jan 05 1.0 -0.1 0.3 0.5

1-Month 99% VaR

since Jan 05 -4.0% -14.4% -3.3% -2.2%

Distinctive Performance in Different Market Conditions Performance overview

Over the period Jan 2005 – Mar 2010, Income Plus (EUR) has shown a distinctive risk return profile.

With a Sharpe ratio of 1.0, it greatly out-performs EU Government Inflation Linked Bonds that has a Sharpe ratio of 0.3




70

90

110

130

150

170

190

Dec-0

4M

ar-0

5Jun-0

5Sep

-05

Dec-0

5M

ar-0

6Jun-0

6Sep

-06

Dec-0

6M

ar-0

7Jun-0

7Sep

-07

Dec-0

7M

ar-0

8Jun-0

8Sep

-08

Dec-0

8M

ar-0

9Jun-0

9Sep

-09

Dec-0

9M

ar-1

0

Income Plus (EUR)

DJUBSCI TR


iBoxx

Eur

Sov

All Mat

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Distinctive Performance in Different Market Conditions Commodities bear markets

Commodities Bear Market in Jan 2001 to Dec 2001

80

85

90

95

100

105

110

Dec-00 Mar-01 Jun-01 Sep-01 Dec-01

Income Plus (EUR)

DJUBSCI TR

iBoxx

Euro Sov

All Maturities

Commodities Bear Market

DJUBSCI TR

iBoxx Euro Sov All

Maturities TR

Income Plus (EUR)

Key Performance Indicators (Jan 01 –

Dec 01)

-19.1%6.1%7.0%Accumulated return

9.7%3.5%3.9%Annualized Volatility

The Income Plus (EUR) Strategy shows steady performance during the commodities bear market in 2001.

The Income Plus (EUR) Strategy would have protected investors from a big drawdown in volatile commodities markets, outperforming the DJUBSCI TR by 26.1%. It also outperformed sovereign bonds.




25


95

100

105

110

115

120

Jul-05 Oct-05 Jan-06 Apr-06 Jul-06

Income Plus (EUR)EU Govt Inflation-linked bondDJUBSCI TR

Distinctive Performance in Different Market Conditions Weak bear markets

Inflation Bonds Bear Market in July 2005 to July 2006

DJUBSCI TR

EU Govt Inflation

Linked Bond

Income Plus (EUR)

Key Performance Indicators (Jul 05 –

Jul 06)

16.6%-1.0%18.1%Accumulated return


For the period of July 2005 to July 2006, the Income Plus (EUR) generated a return of 18.1% while EU Government Inflation-linked bonds returned -1.0%

Income Plus (EUR) out-performed inflation bonds by 19.1% and even outperformed commodities by 1.5%, with half the volatility




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Distinctive Performance in Different Market Conditions Market crisis

Market Crisis in June 07 to Mar 09

DJ Euro Stoxx

50

CSFB Tremont

Investable HF

Income Plus (EUR)

Key Performance Indicators(Jun 07 –

Mar 09)

-53.9%-16.1%16.4%Accumulated return



Sep 06, live performance since Oct 06 to Mar 10.Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10.Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.

During the market crisis (June 2007 to Mar 2009), Income Plus (EUR) generated stable live performance through its allocation to sovereign bonds. Sovereign bonds are generally regarded as “safe havens” during global slowdown and market uncertainties.

The Income Plus (EUR) Strategy generated a cumulative return of 16.4% return

40

50

60

70

80

90

100

110

120

Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09

Income Plus (EUR)

iBoxx

Euro Sov

All Maturities

DJ EURO Stoxx

50

CS Tremont Hedge Fund

27


Live Performance (Oct

06 –

Mar 10) Key Performance Indicators (as

of Mar 10)

Key Performance Indicators (as of March 2010)

Income Plus

(EUR)DJUBSCI

TR


iBoxx

Eur

Sov

All Mat

Net return last 12 months 9.4% 20.5% 9.2% 5.8%

Annualised return since inception 7.6% -3.3% 4.2% 4.9%

Monthly annualised volatility since inception 6.8% 22.4% 5.5% 3.7%

Sharpe ratio since inception 0.7 -0.2 0.3 0.61-Month 99% VaR

since inception -4.3% -16.2% -3.6% -2.3%

Return 2006 (Oct-Dec) 3.0% 5.4% -0.9% -0.5%

Return 2007 6.1% 16.2% 1.9% 1.9%

Return 2008 6.3% -35.6% 3.8% 9.1%

Return 2009 11.5% 18.9% 8.1% 4.3%

Return 2010 -0.1% -5.0% 1.7% 2.3%

Since the launch of the strategy in October 2006, Income Plus (EUR) has generated stable returns, offering an effective and solid protection against inflation.

Income Plus (EUR) shows higher annualised returns than commodities, inflation-linked bonds and sovereign bonds since inception, with lower volatility at the same time.

Distinctive Performance in Different Market Environments Live Performance




70

80

90

100

110

120

130

140

150

160

170

Sep-0

6Dec

-06

Mar

-07

Jun-07

Sep-0

7Dec

-07

Mar

-08

Jun-08

Sep-0

8Dec

-08

Mar

-09

Jun-09

Sep-0

9Dec

-09

Mar

-10

Income Plus (EUR)

DJUBSCI TR


iBoxx

Eur

Sov

All Mat

28


Distinctive Performance in Different Market Conditions Decorrelation

Correlation (Jan 2005 –

Mar 2010)

Income Plus (EUR)

DJUBSCI TR EU Govt Inflation linked Bonds

iBoxx

Eur

Sov

All Mat

DJ Euro Stoxx S&P 500 HFRX

Income Plus (EUR) 1.00 0.57 0.45 0.21 0.15 0.25 0.29

DJUBSCI TR 1.00 0.31 -0.24 0.34 0.45 0.69

EU Govt Inflation linked Bonds 1.00 0.55 0.29 0.37 0.23

iBoxx

Eur

Sov

All Mat 1.00 -0.16 -0.15 -0.37

DJ Euro Stoxx 1.00 0.90 0.66

S&P 500 1.00 0.71

HFRX 1.00

The strategy creates correlation benefits by decoupling from both traditional and alternative investments.

Adding the strategy to existing portfolios shifts the efficient frontier outwards and thereby improves the risk return profile of the overall portfolio.




29


Income Plus (EUR) pro-forma and live performance from January 2005 to March 2010

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

2005 -0.17% 2.38% 1.07% -0.32% 0.75% 0.77% -0.66% 6.76% 2.35% 0.31% 2.41% 3.26% 20.36%

2006 2.74% -1.01% 0.82% -0.90% 0.24% -0.10% 0.66% -0.64% 0.44% 3.02% 2.17% -2.18% 5.26%

2007 -1.69% 0.65% 1.21% 2.53% -1.51% -1.65% 1.90% 2.27% 3.31% -1.90% -0.57% 1.61% 6.11%

2008 3.89% 3.42% -3.53% 0.68% 2.75% 1.02% -1.82% -1.59% -0.87% -2.65% 2.21% 2.96% 6.29%

2009 0.12% -0.54% 2.28% 0.61% 1.25% 0.72% 3.01% 1.83% 0.35% 0.62% 2.25% -1.44% 11.52%

2010 -2.90% 1.31% 1.57% -0.08%

Live Performance

Best Performing Months

Worst Performing Months

Income Plus (EUR) Monthly Performance


Sep 06, live performance since Oct 06 to Mar 10.Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10.Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.

30


Key Performance Indicators

(Jan 05 –

Mar 10)

Income Plus (EUR) DJUBSCI TR EU Govt Inflation linked

BondsiBoxx

Eur

Sov

All MatDJ Euro Stoxx S&P 500 HFRX

Return

Annualized Monthly Return

9.3% 0.9% 3.7% 4.3% 2.7% 1.4% 0.6%

Best performing 12 months

23.9% 41.6% 13.9% 11.6% 46.6% 53.6% 14.5%

Worst performing 12 months

-1.5% -50.3% -2.1% -2.5% -45.0% -43.3% -23.3%

Risk Factors

Annualized Monthly Volatility

6.6% 20.2% 5.1% 3.5% 18.7% 16.0% 7.3%

Sharpe Ratio 1.0 -0.1 0.3 0.5 0.0 -0.1 -0.3

Annualized Monthly Downside Volatility

3.3% 15.2% 3.3% 1.7% 13.8% 12.3% 6.0%

Sortino

Ratio 2.1 -0.1 0.4 1.0 0.0 -0.1 -0.4

1 Month 99% VaR -4.0% -14.4% -3.3% -2.2% -13.1% -11.3% -5.2%

Distinctive Performance in Different Market Conditions Performance analysis versus reference indices

The strategy has had a better risk profile than most of its reference indices with a downside volatility of only 3.3%, a 1-month VaR of -4.0% and a Sortino ratio of 2.1.

Even in terms of worst performing 12 months, the strategy still returned -1.5%.




31


Distinctive Performance in Different Market Conditions Summary

Performance (Jan 05 –

Mar 10)Key Features

LivePro Forma

Exposure to asset classes that provide effective hedge against both inflationary and deflationary trends

Extracting positive returns in different market environments

Proven live track record producing absolute returns in bear and bull markets

Aiming at absolute returns with full liquidity

Daily liquidity allows investor to customize risk management strategy

Dynamic, systematic model is fully adaptive to new trends in fundamental data and market technical indications as and when these arise

No Leverage




70

90

110

130

150

170

190

Dec-0

4M

ar-0

5Jun-0

5Se

p-05

Dec-0

5M

ar-0

6Jun-0

6Se

p-06

Dec-0

6M

ar-0

7Jun-0

7Se

p-07

Dec-0

7M

ar-0

8Jun-0

8Se

p-08

Dec-0

8M

ar-0

9Jun-0

9Se

p-09

Dec-0

9M

ar-1

0

Income Plus (EUR)

DJUBSCI TR


iBoxx

Eur

Sov

All Mat

32


BCFS Overview




Points to Note

33

For Institutional and Professional Investors OnlyFor Information OnlyNot For Further Distribution or Distribution to Retail InvestorsDisclaimer

This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. This document is an indicative summary of the terms and conditions of the securities/transaction described herein and may be amended, superseded or replaced by subsequent summaries. The final terms and conditions of the securities/transaction will be set out in full in the applicable offering document(s) or binding transaction document(s).

This document shall not constitute an underwriting commitment, an offer of financing, an offer to sell, or the solicitation of an offer to buy any securities described herein, which shall be subject to Barclays’

internal approvals. No transaction or service related thereto is contemplated without Barclays' subsequent formal agreement. Barclays is acting solely as principal and not as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the securities/transaction before investing or transacting. Barclays accepts no liability whatsoever for any consequential losses arising from the use of this document or reliance on the information contained herein.

Barclays does not guarantee the accuracy or completeness of information which is contained in this document and which is stated to have been obtained from or is based upon trade and statistical services or other third party sources. Any

data on past performance, modelling or back-testing 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 modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The value

of any investment may fluctuate as a result of market changes. The information in this document is not intended to predict actual results and no assurances are given with respect thereto.

Barclays, its affiliates and the individuals associated therewith may (in various capacities) have positions or deal in transactions or securities (or related derivatives) identical or similar to those described herein.

This document is being made available in the UK to persons who are investment professionals as defined in Article 19 of the FSMA

2000 (Financial Promotion Order) 2005. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any investments to which this document relates will be entered into only with such persons. Clients should contract and execute transactions through a Barclays Bank PLC branch or affiliate in their home jurisdiction unless local regulations permit otherwise. This document is not for distribution to retail customers.

NO ACTION HAS BEEN MADE OR WILL BE TAKEN THAT WOULD PERMIT A PUBLIC OFFERING OF THE SECURITIES DESCRIBED HEREIN IN ANY JURISDICTION IN WHICH ACTION FOR THAT PURPOSE IS REQUIRED. NO OFFERS, SALES, RESALES OR DELIVERY OF THE SECURITIES DESCRIBED HEREIN OR DISTRIBUTION OF ANY OFFERING MATERIAL RELATING TO SUCH SECURITIES MAY BE MADE IN OR FROM ANY JURISDICTION EXCEPT IN CIRCUMSTANCES WHICH WILL RESULT IN COMPLIANCE WITH ANY APPLICABLE LAWS AND REGULATIONS AND WHICH WILL NOT IMPOSE ANY OBLIGATION ON BARCLAYS

OR ANY OF ITS AFFILIATES.

THIS DOCUMENT DOES NOT DISCLOSE ALL THE RISKS AND OTHER SIGNIFICANT ISSUES RELATED TO AN INVESTMENT IN THE SECURITIES/TRANSACTION. PRIOR TO TRANSACTING, POTENTIAL INVESTORS SHOULD ENSURE THAT THEY FULLY UNDERSTAND THE TERMS OF THE SECURITIES/TRANSACTION AND ANY APPLICABLE RISKS. THIS DOCUMENT IS NOT A PROSPECTUS FOR ANY SECURITIES DESCRIBED HEREIN. INVESTORS SHOULD ONLY SUBSCRIBE FOR ANY TRANSFERABLE SECURITIES DESCRIBED HEREIN ON THE BASIS OF INFORMATION IN THE RELEVANT PROSPECTUS (WHICH HAS BEEN OR WILL BE PUBLISHED AND MAY BE OBTAINED FROM BARCLAYS), AND NOT ON THE BASIS OF ANY INFORMATION PROVIDED HEREIN.

Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays

Bank PLC, 2010 (all rights optimal). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays.

Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange.

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