ETN+ and Customized Index Solutions
Investor Solutions
Barclays Investor Solutions is
a global business with dedicated teams in North America, Asia Pacific and UK/Europe
Offers a global portfolio
approach with client-centric solutions across multiple asset classes
The team is dedicated to providing a
suite of tailored and innovative solutions to a wide range of financial professionals, helping them and their clients meet their financial goals
Partnership can lead to the creative implementation of ideas
Creation of a custom algorithm-based index that encompasses the strategy
Delivery of a customized strategy to a broad range of suitable clients
Expertise in exchange-traded notes and structured products to provide index exposure
ETN+ Tailored Exchange Traded Solutions
2 | VQT
– Barclays ETN+ S&P VEQTOR™ ETN
Custom Index Capabilities
Collaboration between
Barclays and its partners allows us to deliver your idea as a customized index to attract new assets
Our index
team assists with the customization, calculation and management of indices
Our index suite is cross asset
class and includes the industry standard for fixed income and inflation- linked indices
Estimated excess of $6
trillion (including third-party products) benchmarked against Barclays Fixed Income Indices1
As index sponsor,
responsible for all index calculations
Calculation performed on a dedicated platform
Barclays Bank PLC and Bloomberg publish the index levels daily
Index methodology, factsheets and frequent performance reports are published
Coverage across asset classes
Indices provide exposure to difficult to access markets
Growing number of ETNs and ETFs referencing our indices
Strict standards for index design
Dedicated IT
team handling implementation, daily calculations and support
Dedicated legal and compliance team ensuring
proper documentation and licensing
Separate Platform
Transparency
Accessibility
Robustness
1. Source: Barclays 10/31/2012
Page 3
Structure Comparison
Barclays Bank PLC can offer
access to customized indices through a variety of vehicles, including ETNs, structured notes, and swaps
A
customized index may be used, subject to legal and regulatory considerations, in a wide range of vehicles and customized payoff profiles that may be appropriate for to a wide range of end investors
Index Tracking
No Tracking Error1
Credit Risk to issuer Intraday
Exchange Trading Block Redemptions
Retail Investor Base
Transparency
Structured Mutual ETNs Swaps ETFs Notes Funds
1.
Tracking error refers to the under/over performance differential of the indicative value of an ETN versus its benchmark index over a given time period, after accounting for the ETN’s fees and costs. One cannot invest directly in an index.
Page 4
Barclays ETNs
Senior, unsecured debt securities
issued by Barclays Bank PLC
Listed on NYSE Arca, providing intraday liquidity
35% market share1 with $5.89bn1 notional outstanding across 78 products in a variety of asset classes
ETNs are linked to the return of an index, less costs and fees, providing no tracking error2
Creation/Redemption process
Barclays offers same day creation and T+1 redemptions at the closing indicative value2
Aims to provide tighter spreads, keeping the intraday bid/ask of the ETNs on the exchange closer to the intraday indicative value
Source: Bloomberg As of 1/4/2013
2. Tracking error refers to the under/over performance differential of the indicative value of an ETN versus its benchmark index over a given time period, after accounting for the
ETN’s fees and costs. One cannot invest directly in an index.
Market Cap by Asset Class
Emerging Markets Equity
2.8%
Rates 2%
FX 1.4%
Volatility 14.2%
Commodities 37.0%
Strategies 42.4%
As of 1/4/2013
Page 5
ETN+ Tailored Exchange Traded Solutions
ETN+ is a
platform of customized Exchange Traded Notes
The platform’s ETNs provide an efficient and accessible
vehicle for an index- based strategy to suitable investors low min issuance requirements ($30-$50 million)
Listed on NYSE Arca
No tracking error1
Barclays a leading issuers of
ETNs, with the highest market share2, and provide expertise in developing and creating ETNs, providing the following:
Development team
Educational materials
Market maker relationships
Block sale/ redemption management
Legal documents
and filing
Seeding
Road shows
Specialist support team
Tracking error refers to the under/over performance differential of an ETN versus its benchmark index over a given time
period, after accounting for the ETNs fees and costs. One cannot invest directly in an index.
Barclays has
34.84% of market share
Source: Bloomberg as of 1/4/2013
Page 6
Appendix
Case Study: CAPE
Barclays Bank PLC teamed up with
Professor Robert Shiller, to create an index based on the CAPE (cyclically adjusted price to earnings) ratio tracked by Barclays ETN+ Shiller CAPE™ ETN
The Shiller Barclays CAPE™ US Core Sector Index aims to provide notional long exposure to the top four relatively undervalued sectors, as determined by the relative CAPE Indicator
375 350 325 300 275 250 225 200 175 150 125 100 75
Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12
Shiller Barclays CAPE™ US Core Sector Index
S&P 500 ® TR
CAPE™ Index live since
October 5, 2012
Shiller Barclays CAPE™ US
S&P 500®
TR
Core Sector Index
Annualized Returns 11.0% 7.0%
Annualized
Volatility 1 19.5% 21.1%
Correlation to the S&P500® TR 96.9% 100%
Source: Bloomberg, Barclays. Data: 9/03/2002 – 12/31/2012 . The Shiller Barclays CAPE US Core Sector Index was
launched on 10/5/2012. The information prior to launch dates included above is hypothetical historical. You should not rely on historical or hypothetical historical information. Such historical and hypothetical historical information is not
indicative of future performance. You cannot invest directly in an index.
1. Annualized Volatility is
calculated as a standard deviation of natural logarithm daily returns in the observation period multiplied by the square root of 252. Because the annualized volatility is based on historical data, it may not predict variability on annualized future
performance.
Case Study: VQT
Barclays ETN+ S&P
VEQTOR™ ETN is linked to an index designed by S&P in conjunction with Barclays index team, aiming to create an index offering investors broad equity exposure with a volatility hedge
The S&P 500® Dynamic VEQTOR™ Total Return Index offers broad equity market exposure with an implied
volatility hedge, by dynamically allocating between S&P 500® Index, S&P 500® VIX Futures™ Total Return Index and cash
300 250 200 150 100 50 0
Dec-05 Jun-06 Dec-06
Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12
VEQTOR™ Index live
Since
S&P 500® TR Index
VEQTOR™ Index
S&P 500® TR Index VEQTOR™ Index
Annualized Return since 12/20/05 3.98% 13.61%
Annualized Volatility1 23.34% 11.34%
Correlation
vs S&P 500® TR Index 100.00% 61.91%
Source: Bloomberg, 12/20/2005 - 12/31/2012. Correlation based on
daily returns.
The S&P 500® Dynamic VEQTORTM Index was launched in November 2009. The information
prior to launch dates included above is hypothetical historical. You should not rely on historical or hypothetical historical information. Such historical and hypothetical historical information is not indicative of future performance.
Annualized Volatility is calculated as a standard deviation of natural logarithm daily returns in the observation period
multiplied by the square root of 252. Because the annualized volatility is based on historical data, it may not predict variability on annualized future performance.
9
Selected Risk Considerations
An investment in the
ETNs described herein (the “ETNs”) involves risks. Selected risks are summarized here, but we urge you to read the more detailed explanation of risks described under “Risk Factors” in the applicable prospectus supplement and
pricing supplement.
You May Lose Some or All of Your Principal: The ETNs are exposed to any decrease in the
level of the underlying index between the inception date and the applicable valuation date. Additionally, if the level of the underlying index is insufficient to offset the negative effect of the investor fee and other applicable costs, you will
lose some or all of your investment at maturity or upon redemption, even if the value of such index has increased. Because the ETNs are subject to an investor fee and any other applicable costs, the return on the ETNs will always be lower than the
total return on a direct investment in the index components. The ETNs are riskier than ordinary unsecured debt securities and have no principal protection.
Credit of Barclays Bank PLC: The ETNs are unsecured debt obligations of the issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of or guaranteed by any
third party. Any payment to be made on the ETNs, including any payment at maturity or upon redemption, depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of
Barclays Bank PLC will affect the market value, if any, of the ETNs prior to maturity or redemption. In addition, in the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the
ETNs.
Issuer Redemption: Barclays Bank PLC will have the right to redeem or “call” the ETNs (in
whole but not in part) at its sole discretion and without your consent on any trading day on or after the inception date until and including maturity.
Market and Volatility Risk: The market value of the ETNs may be influenced by many unpredictable factors and may fluctuate between the date you purchase them and the maturity date or
redemption date. You may also sustain a significant loss if you sell your ETNs in the secondary market. Factors that may influence the market value of the ETNs include prevailing market prices of the U.S. stock markets, the index components included
in the underlying index, and prevailing market prices of options on such index or any other financial instruments related to such index; and supply and demand for the ETNs, including economic, financial, political, regulatory, geographical or
judicial events that affect the level of such index or other financial instruments related to such index.
A
Trading Market for the ETNs May Not Develop: Although the ETNs are listed on NYSE Arca, a trading market for the ETNs may not develop and the liquidity of the ETNs may be limited, as we are not required to maintain any listing of the ETNs.
No Interest Payments from the ETNs: You may not receive any interest payments on the ETNs.
Restrictions on the Minimum Number of ETNs and Date Restrictions for Redemptions: You must redeem at least 25,000 ETNs at
one time in order to exercise your right to redeem your ETNs on any redemption date. You may only redeem your ETNs on a redemption date if we receive a notice of redemption from you by certain dates and times as set forth in the pricing supplement.
Uncertain Tax Treatment: Significant aspects of the tax treatment of the ETNs are uncertain. You should
consult your own tax advisor about your own tax situation.
10 | Barclays ETN+ Shiller CAPE Sector Rotation ETN
Selected Risk Considerations
Barclays Bank PLC
has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus and other documents Barclays Bank PLC has filed with the SEC for more
complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC will arrange for Barclays Capital Inc. to send you the
prospectus if you request it by calling toll-free 1-888-227-2275 (ext. 2-3430), or you may request a copy from any other dealer participating in the offering.
The ETNs may be sold throughout the day on the exchange through any brokerage account. Commissions may apply and there are
tax consequences in the event of sale, redemption or maturity of ETNs.
“Shiller Barclays CAPETM US Core
Sector Index” is a trademark of Barclays Bank PLC.
“CAPETM” is a trademark of RSBB-I, LLC
(“RSBB”) and has been licensed for certain purposes by Barclays Bank PLC.
Standard &
Poor’s®, S&P 500®, S&P® and S&P 500® Total Return are registered trademarks of Standard & Poor’s Financial Services, LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by Barclays Bank PLC. The Shiller Barclays CAPETM US Core Sector
Index (the “Index”) which is based on the S&P 500® and the Sector Indices is not sponsored or endorsed by S&P Dow Jones Indices LLC, Dow Jones, S&P, or any of their respective subsidiaries or affiliates (collectively,
“S&P Dow Jones Indices”), but is published with their consent. The ETNs based on the Index are not sponsored or endorsed by S&P Dow Jones Indices or any of their respective affiliates and S&P Dow Jones Indices makes no
representation or warranty, express or implied, to the owners of the ETNs or any member of the public regarding the advisability of investing in securities generally or in the ETNs particularly or the ability of the Index to track general market
performance.
The Shiller Barclays CAPE US Index Family has been developed in part by RSBB, LLC, the research
principal of which is Robert J. Shiller. RSBB, LLC is not an investment advisor and does not guarantee the accuracy and completeness of the Shiller Barclays CAPE US Index Family or any data or methodology either included therein or upon which it is
based. RSBB, LLC shall have no liability for any errors, omissions or interruptions therein and makes no warranties expressed or implied, as to the performance or results experienced by any party from the use of any information included therein or
upon which it is based, and expressly disclaims all warranties of the merchantability or fitness for a particular purpose with respect thereto, and shall not be liable for any claims or losses of any nature in connection with the use of such
information, including but not limited to, lost profits or punitive or consequential damages even, if RSBB, LLC is advised of the possibility of same. © 2013 Barclays Bank PLC. All rights reserved. All other trademarks, servicemarks or
registered trademarks are the property, and used with the permission, of their respective owners.
NOT FDIC
INSURED · NO BANK GUARANTEE · MAY LOSE VALUE
11 | Barclays ETN+ Shiller CAPE Sector Rotation ETN