productos estructurados como herramientas de inversión unicamente con fines informativos natalia...

Productos Estructurados como Herramientas de Inversión

UNICAMENTE CON FINES INFORMATIVOS

Natalia SandovalBARCLAYS CAPITALInvestor Solutions

April 2011

2

Resumen de Mercado del AñoResumen de Mercado del Año 2008 hasta el 2010 YTD 2008 hasta el 2010 YTD

Back to Basics y Productos Estructurados en Latinoamérica

Ideas con Perfiles de Pago Tradicionales Ideas con Perfiles de Pago Tradicionales

Brent Oil SuperTrack

GMODELO SuperTrack

ConclusionesConclusiones

Introducción a Inversiones EstructuradasIntroducción a Inversiones Estructuradas

Tipos de activos

Agenda

Tendencias e InnovaciónTendencias e Innovación

S&P 500® Dynamic VEQTORTM Mid-Term Index:

Barclays Capital ASTRO US Variable Index

Mexican ADRs Autocall

Introducción a Inversiones Estructuradas

4

Tipos de Productos Estructurados

Single Stocks/Baskets of Stocks US and Global Indices ETFs

Single Commodities/Baskets of Commodities Commodity Indices Oil, Gold, Coal, etc.

Single Currencies/Baskets of Currencies BRIC, Latin America, Emerging Markets currencies

CPI-Linked Notes

Steepeners/Accrual Notes Treasury futures-linked Notes/LIBOR-linked Notes

Property Derivatives/ REIT-linked/ PICs (Property Index Certificates)

Equity

Commodity

Foreign Exchange

Inflation

Fixed Income

Real Estate

Hybrid Combinations of Asset Classes in one instrument

Tod

a C

lase d

e A

ctiv

os

Resumen del Mercado 2008 -2011 YTD

Resumen del Mercado: 2008 - 2011 YTD

Volviendo a lo básico: los clientes han cambiado su enfoque de inversión a notas simples, transparentemente estructuradas .

Pagos y subyacentes se han basado en temas clave de la recuperación de las inversiones con temáticas como el petróleo, la agricultura y los bonos del Tesoro a corto plazo

El rendimiento real ha sido importante para los inversores en busca de retorno en un entorno actual de bajas tasas de interés

Estructuras generalmente vinculadas a una amplia base de índices con protección parcial del capital , o ligadas a estrategias que proveen exposición estratégica “enhanced” al mercado , “Enhanced Beta”.

Temas Actuales del Mercado Global Payoff simples y retorno del apetito por el riesgo La sensibilidad del riesgo crediticio del emisor Productos basados en temáticas de interés Innovación en estrategias de “enhanced beta”

En el 2010, los En el 2010, los volúmenes fueron de $ 51Bn * volúmenes fueron de $ 51Bn * mostrando una tendencia saludable de emisión tras la recuperación del mercado mostrando una tendencia saludable de emisión tras la recuperación del mercado

* Source: Structured Retail Products, October 2010

7

Resumen del Mercado La evolución de las inversiones estructuradas en América Latina

Activos SubyacentesActivos Subyacentes

ProductoProducto

VisiónVisión Global Global

Inversiones estructuradas en Latinoamérica son notoriamente menos exóticas que la oferta en otras regiones

Las inversiones estructuradas en Latinoamérica aún tienden a ser a más corto plazo, o “flow products” en comparación con los que se encuentran en Europa y EE.UU.

En América Latina nos encontramos con un mayor enfoque en las estrategias simples, innovadoras, así como productos de acceso

Anteriormente, las inversiones estructuradas en Latinoamérica estaban generalmente centradas en renta fija y tipo de cambio. En al actualidad, acciones y otros activos son parte de la demanda por productos estructurados.

Con mayor frecuencia, los productos son vinculados a canastas o a una grupo de activos subyacentes en lugar de un solo activo.

Históricamente, “Reverse Convertibles” era la estructura más popular; actualmente la demanda ha aumentado por estructuras tales como: Autocallables Productos con protección parcial o condicional de principal Exchange Traded Notes Enhanced Return (Super Tracks)

Inversiones Estructuradas: Herramientas de Asignación de Cartera

9

Brent Super Track

For Educational Purposes Only

El petróleo crudo Brent es un petróleo ligero y dulce (contiene menos de 0.5% de sulfuro); 2/3 de los precios mundiales salen del crudo Brent en comparación con el petróleo crudo WTI, que es muy usado en los EE.UU..

Libia posee las mayores reservas de petróleo de África y para todos los propósitos prácticos, el flujo de las exportaciones de crudo libio es probable que sea gravemente truncado por un amplio período.

Con la ausencia del crudo ligero y dulce de Libia, la compra de crudos de África Occidental y los crudos del Mar del Norte de Europa y Asia se ha intensificado. Esto hace a Nigeria, el mayor productor de África, aún más importante de lo habitual. Además, si usamos las pasadas elecciones de Nigeria como un indicador, deberíamos esperar interrupciones de suministro en las próximas semanas antes de las elecciones.

10

Brent Super Track


Pago a Vencimiento:

•A vencimiento, si el precio final es mayor que el precio inicial:

1)Si el precio final es mayor que el precio inicial, el tenedor de la nota recibe [150]% de la alza con un cap en [117]%, es decir con un retorno máximo de 25.5%

2) De lo contrario, si el precio final esta por debajo del precio inicial, el inversionista recibe 1-por-1el rendimiento negativo del subyacente .

Moneda USD

Plazo 6 Meses

Subyacente Brent (OIL-WTI- NYMEX)

Participación 150.00%

Cap 117 % cap (25.50% retorno Max.)

Protección 0%

Moneda USD

Plazo 6 Meses




Protección 0%

Retorno Máximo

subyacente

nota

Pago a Vencimiento

A la baja

rendimiento

Performance Exposición

Participación

A la alza

11

North Asian Equities Super Track


Acciones del norte de Asia (especialmente Korea y Taiwan) muestran precios atractivos en relación a sus valuaciones históricas P/E.

En China, las acciones locales muestran precios atractivos, actualmente cotizando a una menor prima que las acciones offshore que hemos visto en el pasado.

Otros indicadores tales como earnings momentum, política monetaria y expectativas de crecimiento hacen las acciones del norte de Asia atractivas.

Tendencia de crecimiento en Asia mayor que en cualquier otra región.

En relación a otros paises de EM, estos mercados están todavía subvaluados y encaminados a beneficiarse positivamente del crecimiento del mundo desarrollado.

12

North Asian Equities Super Track Moneda USD

Plazo 6 Meses




Protección 0%

Moneda USD

Plazo 4 años

Subyacente


Cap No cap

Protección 0%

Canasta con pesos iguales en HSCEI (China)/ TAMSCI (Taiwan) / KOSPI2 (South Korea)

Moneda USD

Plazo 6 Meses




Protección 0%

Moneda USD

Plazo 4 años

Subyacente


Cap No cap

Protección 0%

Canasta con pesos iguales en HSCEI (China)/ TAMSCI (Taiwan) / KOSPI2 (South Korea)

Acceso único: HSCEI no esta disponible para acceso de

inversionistas no domiciliados en China.

+

Uso eficiente del capital: 2X Apalancamiento a la alza permite al inversionista alcanzar la exposición deseada con solamente la mitad del

nocional .

13

Acciones Locales MexicanasGMODELO Supertrack


Pago a Vencimiento:

•A vencimiento, si el precio final es mayor que el precio inicial:

1)Si el precio final es mayor que el precio inicial, el tenedor de la nota recibe [150]% de la alza con un cap en [116]%, es decir con un retorno máximo de 24%

2) De lo contrario, si el precio final esta por debajo del precio inicial, el inversionista recibe 1-por-1el rendimiento negativo del subyacente .

Retorno Máximo

subyacente

nota

Pago a Vencimiento

A la baja

rendimiento

Performance Exposición

Participación

A la alza

Moneda USD

Plazo 6 Meses

Subyacente Brent(OIL-WTI-NYMEX)


Cap 117% cap (25.50% retorno Max.)

Protección 0%

Moneda USD

Plazo

Subyacente GMODELOB

Participación

150.00%

Cap 116 % cap (24% retorno Max.)

0%

1 Año

Protección

ADRs MexicanosCoupon Barrier Autocall (CBAN)

Plazo 1 año

Subyacente CX,TV y AMX

Cupón Condicional (t) = 1,..,4 14.50% p.a

Barrera del Cupón 70%

Barrera protección 70%

Observación (t) = 1,2,3,4 Trimestral

Redención Anticipada

&

Pago a Vencimiento

Si el subyacente con el menor rendimiento cierra por encima de100% del nivel inicial en cualquiera de las observaciones, la Nota se redime anticipadamente a 100% mas el cupón trimestral

A vencimiento, si el precio de cierre del subyacente con el menor rendimiento es mayor que la Barrera de Protección, la nota se paga al 100% del capital inicia mas el ultimo cupón trimestral.

De lo contrario, 100% menos el 1-por-1 el rendimiento negativo del subyacente con menor rendimiento a vencimiento.

Diagrama de Pago Hipotético

Trimestre 4

*SMR > [70]% del nivel inicial SMR> [70]% del nivel inicial

si

Cupón Condicional

Ejemplo Hipotético

no

NoCupón

si

Cupón Condicional

no

NoCupón

Coupon Barrier Autocall sobre ADRs Mexicanos

Trimestres 1 - 3

SMR> [100]% del nivel inicial

si

100% delPrincipal

no

No redención anticipada

ElPrincipal

reducido 1-por-1 el

rendimiento negativo del

SMR

SMR > [70]% del nivel inicial

si no

100% delPrincipal

Traditional Structured Products Offering

These examples are for illustrative purposes only and do not constitute a guaranteed return or performance. Past performance is not indicative of

future results.


*SMR= subyacente con menor

rendimiento

Tendencias e Innovación

S&P 500® Dynamic VEQTORTM Mid-Term Index

Dynamic VEQTOR Strategy on iShares MSCI Mexico Investable Index Fund


S&P 500® Dynamic VEQTORTM Mid-Term IndexInvierte en el Mercado Accionario con un Hedge de Volatilidad Implícita

Resumen

El S&P 500® Dynamic VEQTORTM Mid-Term Index es un índice de inversión que combina una inversión en el S&P 500® con una asignación a la volatilidad a través de una inversión en el S&P 500® VIX Mid-Term Futures Index

El S&P 500® Dynamic VEQTORTM Mid-Term Index tiene como objetivo proporcionar una mayor rentabilidad ajustada al riesgo en relación con el S&P 500® mediante la combinación de una inversión base en el índice S&P 500® con una asignación a la volatilidad ajustando dinámicamente la asignación de acuerdo a observaciones de mercado en el tiempo de inversión.

La volatilidad en el mercado accionario históricamente ha exhibido correlación negativa con el mercado de renta variable en momentos de estrés, haciendo de la volatilidad una estrategia de cobertura de riesgo natural a la baja de precios en acciones. De tal forma, la distribución de retorno de una cartera puede ser mejorada substancialmente cuando se cuenta con una asignación a la volatilidad.

Asignando dinámicamente entre el S&P 500® y S&P 500® VIX Mid-Term FuturesTM índices, de forma riesgo ajustada puede resultar en beneficios adicionales tanto de mejor los rendimientos durante períodos de alta volatilidad y reducir el costo de “carry” de volatilidad en periodos de baja volatilidad.

Volatilidad Realizada Señal

del entorno1-mes volatilidad realizada del S&P

500®

Volatilidad Implícita Señal de

Tendencia5-Días y 20-días

promedios móviles del VIX® Index

Stop LossEN algunas circunstancia la

totalidad de la asignación puede cambiar de equity y volatilidad a

cash

Como Funciona ?

For Education Purposes Only

Realized Volatility

Environment

Target Equity / Volatility Allocation

Implied Volatility

Downtrend

No Implied Volatility

Trend

Implied Volatility Uptrend

< 10% 97.5% / 2.5% 97.5% / 2.5% 90% / 10%

10% to 20% 97.5% / 2.5% 90% / 10% 85% / 15%

20% to 35% 90% / 10% 85% / 15% 75% / 25%

35% to 45% 85% / 15% 75% / 25% 60% / 40%

> 45% 75% / 25% 60% / 40% 60% / 40%


60

80

100

120

140

160

180

200

Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10

S&P 500 Dynamic VEQTOR Mid-Term Index Total Return

100% S&P 500 Total Return

85%/15% Equity & Volatility Hypothetical Portfolio

Rendimiento Hipotético Histórico Invertir en la volatilidad de más largo plazo como cobertura en un portafolio de acciones tiende a dar menos protección en mercados a la baja si comparamos con la volatilidad a corto plazo. Sin embargo, al mismo tiempo históricamente “el carry de volatilidad” tiende a ser más barato dado el menor costo del roll de los VIX Futures de largo plazo durante mercados con tendencia alcista.


S&P 500® Dynamic VEQTORTM Mid-Term

85%/15% Equity/VolatilityHypothetical Portfolio S&P 500® TR

Return YTD (2011) 2.00% 0.13% 2.37%Annualized Return 1Y (2010) 15.36% 11.85% 15.06%Annualized Return 3Y (2008-10) 11.47% 0.88% -2.85%Annualized Return 5Y n/a n/a n/aAnnualized Return LTD1 12.74% 4.83% 2.54%Annualized Volatility LTD1 13.34% 17.71% 24.74%Correlation vs S&P500® TR1 78.19% 98.54% 100%


___________________________1. Source: Bloomberg, Standard & Poor’s, Barclays Capital. Data: December 2005 – January 2011Disclaimer: The S&P 500® Dynamic VEQTORTM Mid-Term Index was launched on February 17, 2011, 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.

Rendimientos MensualesS&P 500® Dynamic VEQTORTM Mid-Term Index Monthly Total Returns1 Annual Total Returns1

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

2006 2.07% -0.12% 1.00% 1.30% 0.25% 0.16% -0.19% 2.59% 2.59% 2.83% 1.76% 1.50% 16.88%

2007 1.13% -1.92% 1.89% 4.22% 3.42% -1.19% -0.63% 3.42% 2.66% 1.10% -1.34%-

0.46%12.74%

2008-

4.15%-2.34% 3.41% 1.13% 0.42% -5.95% -0.66% 1.43% -4.80% 5.03% 1.51% 3.61% -2.03%

2009-

1.76%-4.27% 7.53% 6.41% 4.59% 0.86% 5.22% 3.26% 0.23% -2.70% 1.16% 0.71% 22.57%

2010-

2.03%-0.12% 5.53% 1.94% -2.89% -2.39% 4.07% -2.70% 6.96% 2.22% -0.12% 4.55% 15.36%

2011 2.00% 2.00%

S&P 500® Total Return Monthly Total Returns1 Annual Total Returns1

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

2006 2.65% 0.27% 1.24% 1.34% -2.88% 0.14% 0.62% 2.38% 2.58% 3.26% 1.90% 1.40% 15.79%

2007 1.51% -1.96% 1.12% 4.43% 3.49% -1.66% -3.10% 1.50% 3.74% 1.59% -4.18%-

0.69%5.49%

2008-

6.00%-3.25% -0.43% 4.87% 1.30% -8.43% -0.84% 1.45% -8.91%

-16.79%

-7.18% 1.06% -37.00%

2009-

8.43%-10.65% 8.76% 9.57% 5.59% 0.20% 7.56% 3.61% 3.73% -1.86% 6.00% 1.93% 26.46%

2010-

3.60%3.10% 6.03% 1.58% -7.99% -5.23% 7.01% -4.51% 8.92% 3.80% 0.01% 6.68% 15.06%

2011 2.37% 2.37%

VEQTOR with Mid-Term Volatility vs. SPTR Outperformance/UnderperformanceAnnual Relative

Performance

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

2006-

0.58%-0.39% -0.24% -0.05% 3.13% 0.03% -0.80% 0.21% 0.01% -0.42% -0.14% 0.10% 1.08%

2007-

0.38%0.04% 0.77% -0.21% -0.07% 0.47% 2.47% 1.92% -1.08% -0.49% 2.84% 0.23% 7.25%

2008 1.85% 0.91% 3.84% -3.74% -0.87% 2.48% 0.18% -0.02% 4.11% 21.82% 8.69% 2.54% 34.96%

2009 6.67% 6.38% -1.23% -3.16% -1.01% 0.67% -2.35% -0.35% -3.50% -0.84% -4.84%-

1.22%-3.89%

2010 1.56% -3.21% -0.51% 0.36% 5.10% 2.85% -2.94% 1.81% -1.97% -1.59% -0.13%-

2.13%0.29%

2011-

0.37%-0.37%


___________________________1. Source: Bloomberg, Standard & Poor’s, Barclays Capital. Data: December 2005 – January 2011. Disclaimer: The S&P 500® Dynamic VEQTORTM Mid-Term Index was launched on February 17, 2011, 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.

Frequency (%)

0%

2%

4%

6%

8%

10%

12%

-50% -25% 0% 25% 50% 75%One-Year Daily Rolling Returns

Distribución del Rendimiento en el Portafolio (1-Year Rolling Results)

Frequency (%)

0%

2%

4%

6%

8%

10%

12%

-50% -25% 0% 25% 50% 75%One-Year Daily Rolling Returns

100% S&P 500 (TR)S&P 500® VEQTORTM Mid-Term Index (TR)

VEQTOR Mid-TermAve 12.5%


S&P 500® Dynamic VEQTORTM Mid-Term Index, basado en resultados históricos hipotéticos, ha reforzado la distribución de retorno y desplazado hacia la derecha en comparación con la asignación fija del 85% Equity/15% Volatilidad o 100% Equity.

Hypothetical S&P 500® Dynamic VEQTORTM Mid-Term Portfolio Return Distribution(1)

Returns Distribution of S&P 500® Returns Distribution after Volatility Allocation

100% S&P 500 (TR)85% S&P 500 (TR) & 15% S&P 500 Mid-Term VIX Futures Index (TR)

100% S&P 500Total Return

Average 2.2%

85% Equity & 15% Volatility

Ave 5.1%


___________________________1. Source: Bloomberg, Standard & Poor’s, Barclays Capital. Data: December 2005 – January 2011Disclaimer: The S&P 500® Dynamic VEQTORTM Mid-Term Index was launched on February 17, 2011, 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.

Dynamic VEQTOR Strategy on iShares MSCI Mexico Investable Index Fund



Podemos adaptar VEQTOR al mercado accionario en México, usando EWW para proveer exposición al mercado accionario mexicano con un hedge de volatilidad implícita.

El mecanismo seria similar, la volatilidad realizada la medimos utilizando la volatilidad realizada de 1 mes en EWW y la tendencia de volatilidad implícita utilizando VIX.

Dependiendo del entorno de volatilidad realizada e implícita, llevamos acabo la asignación entro ambos activos. El rebalanceo se realiza diariamente.

Las señales que utilizamos para cambiar dinámicamente la asignación se muestran en la tabla a continuación.

___________________________1. Source: Bloomberg, Standard & Poor’s, Barclays Capital. Sample period: January 2001 – February 2011. Disclaimer: Barclays Capital ASTRO US Indices were launched in May 2010, Barclays Capital ASTRO US Variable Indices were launched in March 2011. All information included above prior to May 2010 and March 2011, respectively, 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.

RendimientoBarclays Capital ASTRO US Variable Index




Barclays Capital ASTRO US Variable IndexBarclays Capital ASTRO US Variable Index


Rendimiento Histórico Hipotetico1

Objetivo de InversiónEl índice Barclays Capital ASTRO US Variable Index (“ASTRO Index”) es una estrategia algorítmica que busca proveer exposición a la reversión a la media “mean reversión” observada históricamente en los mercados accionarios. Históricamente, monetizar ganancias de la reversión a la media en acciones ha mostrado rendimiento contundente en el pasado, sobretodo en tiempos de estrés. El índice ASTRO Index busca capturar el diferencial entre varianza diaria y semana la utilizando un enfoque de cobertura de delta “delta-hedging”.



ASTRO Excess Return (Post-1% Fee)

S&P 500® Total

Return

Return YTD (Feb 28) 0.74% 5.88%Annualized Return 1Y 2.16% 22.57%Annualized Return 3Y 19.73% 2.20%Annualized Return LTD1 7.25% 2.15%Annualized Vol LTD1 9.74% 21.64%Corr vs. S&P500® TR 0.25 1.0060

80

100

120

140

160

180

200

220

Jan-01 Apr-02 Jul-03 Oct-04 Jan-06 Apr-07 Jul-08 Oct-09 Jan-11

ASTRO Index Excess Return

S&P 500 Total Return

BloombergBarclays Capital ASTRO US Variable Excess Return

IndexTicker BXIIAVUE Index (Post-1% Management Fee)Ticker BXIIAVEP Index (Pre-1% Management Fee)

-1

0

1

0 1d 2d 3d 4d 1wk 2wk

Mean-Reverting Asset

Históricamente, los mercados accionarios han exhibido ya sea tendencias de reversión a la media, “mean-reverting” o comportamientos de trending, “trending behaviours” sobre varios periodos de tiempo. LA volatilidad realizada (y Varianza) basados en retornos diarios vs. semanales es comúnmente utilizada para medir reversión a la media en los mercados accionarios.

Midiendo la Reversión a la Media en los Mercados Accionarios

Daily Volatility > Weekly Volatility Daily Volatility < Weekly Volatility

Los retornos de acciones con reversión a la media mostrados aquí arriba tienen un retorno semanal pequeño y alta fluctuación en retornos diarios resultando en un diferencial positivo en volatilidad (y de varianza) diaria vs. semanal.

Los retornos con pendiente a la alza o baja “upward (or downward) trending returns” en el ejmplo arriba tienen retornos semanales mas altos y menor fluctuación en retornos diarios. De tal forma, el diferencial de ;a volatilidad diaria vs. Semanal (y la varianza) será negativo.

Weekly Return = 0

-1

0

1

0 1d 2d 3d 4d 1wk 2wk

Trending Asset

Weekly Return Positive (or Negative)



La reversión a la media en los mercados accionarios es una tendencia observada históricamente en la que los rendimientos diarios en acciones serán seguidos por rendimientos diarios en la dirección opuesta.

Reversión a la Media Histórica en los Mercados Accionarios

-10%

-5%

0%

5%

10%

15%

1934 1941 1948 1955 1962 1969 1976 1983 1990 1997 2004

12-month Realized Vol atility Spread(Daily vs Weekly Returns)

0%

10%

20%

30%

40%

50%

60%

70%

80%

2000 2002 2004 2006 2008

3-month Realized Volatility (Weekly Returns)3-month Realized Volatility (Daily Returns)

Mean-Reversion:

positive daily vs. weekly

volatilityspreads

Positive spread duringmean-

reverting markets

Durante mercados accionarios con reversión a la media, la suma de cambios diarios será mayor que el cambio neto semanal, haciendo el diferencial de volatilidad diario menos semanal positivo.

Este comportamiento se ha presentado mas evidente, en un ambiente de mercado con mayor volatilidad ya que se ha observado que la volatilidad es el mayor catalizador en acciones como se demuestra en las graficas abajo. Historical Mean Reversion in S&P 500®

Index1

Mean Reversion in S&P 500® Index since 20002

___________________________1. Source: Bloomberg and Barclays Capital. Data for the period of January 1934 - February 2011. Realized volatility is a historical calculation of the degree of movement of the price of an asset over a period of time, based on prices of the asset observed daily or weekly in the market over a specified period.2. Source: Bloomberg and Barclays Capital. Data for the period of January 2000 - February 2011.Disclaimer: Any table, chart or graph showing hypothetical returns is provided for purposes of illustration only. It should not be viewed as an indication or prediction of future investment results. It is intended merely to illustrate the impact of various hypothetical market values.

Negative spread during

trending markets

1987 Crash 2007-2008Credit Crisis



La reversión a la media se ha incrementado históricamente en periodos de alta volatilidad que son generalmente asociados con mercados a la baja o “bear markets”

Protection con reversion a la media

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

0% 10% 20% 30% 40% 50% 60%12-month S&P 500 Realized Daily Volatility

12-m

onth

Rea

lized

Vol

atilit

y S

prea

d (D

aily

vs

. Wee

kly

Ret

urns

)

Higher positive spread implies stronger degree of mean reversion in high volatility environment

El índice Barclays Capital ASTRO Index busca monetizar la reversión a la media en acciones

___________________________1. Source: Bloomberg and Barclays Capital. Data for the period of January 1928 - February 2011. Realized volatility is a historical calculation of the degree of movement of the price of an asset over a period of time, based on prices of the asset observed daily or weekly in the market over a

specified period.Disclaimer: Any table, chart or graph showing hypothetical returns is provided for purposes of illustration only. It should not be viewed as an indication or prediction of future investment results. It is intended merely to illustrate the impact of various hypothetical market values.

Historical Mean Reversion vs. Realized Volatility in S&P 500® Index1



ASTRO Index: Mecanismo

El índice ASTRO replica una serie de “rolling 5-day spreads” entre varianza de retornos diarios y semanales usando una metodología de delta hedging con rebalanceo diario.

Replicating Rolling One-Week Variance SpreadsOne-week variance spreads positions launched

each weekday, Monday through Friday, are replicated using a delta hedging approach:

Long 5-day variance based on daily returns and Short 5-day variance based on weekly return

Applying Leverage to DeltaDelta obtained from replicating rolling five

variancespreads, each starting and resetting on a

different weekday, is then leveraged.Leverage is higher during low volatility periods

and lower during high volatility periods

Capping and Flooring DeltaThe value of daily Delta and the amount of Deltarebalanced every day is capped and floored at +/-150% to reduce the concentration of risk.



COMO FUNCIONA

ASTRO Index: Hypothetical Historical Returns

Jan 01 – Feb 11 BXIIAVUE Index SPTR Index

Max Annualized 66.44% 72.29%

Min Annualized -5.74% -47.50%

% Positive 88.10% 66.07%

% Negative 11.90% 33.93%

Average Annualized 9.09% 3.89%

Median Annualized 3.04% 8.98%

Average Volatility 8.18% 19.53%

___________________________1. Source: Bloomberg, Barclays Capital. Data for January 2001 – February 2011. One-Year Returns are calculated daily based on prior 252 business-day Index performance.Disclaimer: Barclays Capital ASTRO US Indices were launched in May 2010, Barclays Capital ASTRO US Variable Indices were launched in March 2011. All information included above prior to May 2010 and March 2011, respectively, 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.

Annual Returns11-Year Rolling Returns1

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecASTRO

ERSPTR

2001 0.30% -1.00% 1.03% 1.08% -0.83% -0.52% 0.91% 0.12% -5.04% -0.48% 0.48% 0.32% -3.72% -10.26%

2002 1.96% 0.72% -0.71% 0.39% 3.69% 0.38% -5.74% 3.30% 0.47% -0.23% 1.53% 1.08% 6.72% -22.10%

2003 -0.62% 1.02% -0.98% 2.15% -0.12% -0.16% 2.12% -0.25% -0.18% -0.14% 0.26% -0.05% 3.04% 28.68%

2004 0.83% 0.40% -0.73% -0.11% 0.12% 0.90% 0.14% -0.31% 0.44% -1.18% -0.91% 1.00% 0.56% 10.88%

2005 -0.03% 0.35% -0.21% 1.37% -0.29% 0.10% 0.28% 0.73% 0.02% 1.54% -1.51% 0.63% 2.99% 4.91%

2006 -0.08% 0.11% 0.05% 0.11% -0.68% 1.66% 0.36% -0.49% -0.07% 0.10% 0.29% 0.02% 1.38% 15.79%

2007 0.49% -0.54% -1.04% -0.47% 0.57% 0.62% -1.13% 4.98% 0.61% 0.06% 3.13% 0.75% 8.16% 5.49%

2008 -2.23% 0.79% 4.66% 0.42% 0.35% 1.36% 3.41% 3.88% 22.11% 3.84% 3.10% 7.18% 58.56% -37.00%

2009 0.86% 0.17% -0.97% 4.14% 1.72% 0.43% -3.62% 0.19% -1.10% 0.88% 0.48% 0.36% 3.41% 26.46%

2010 -0.57% 1.52% -1.05% 1.57% 1.83% -0.33% -1.28% 0.28% 0.10% 0.80% 0.06% -0.54% 2.36% 15.06%

2011 0.69% 0.04% 0.74% 5.88%



6.7%3.0%

8.2%

58.6%

0.7%

-37.0%

1.4%0.6% 2.4%3.4%3.0%

-3.7%

15.8%

5.5%

4.9%5.9%

26.5%

15.1%10.9%

28.7%

-22.1%-10.3%

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ASTRO Index ER

SPTR Index

ASTRO Index as an Overlay to an Equity Portfolio

January 2001 – February 20111

PortfolioSPTR Index

Annualized Return 9.82% 2.15%

Annualized Volatility

26.92% 21.64%

Return/Volatility Ratio

0.36 0.10

Max Drawdown2 -21.01% -29.65%

Annual Returns of the portfolio: $100 SPTR and $100 ASTRO Excess Return Index Overlay (monthly rebalance)1

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 YTD1

Portfolio-

14.05%

-16.79

%

32.52%

11.46% 8.16% 17.40% 14.06% 2.82% 30.49% 18.06% 6.65%

SPTR -

10.26%

-22.10

%

28.68%

10.88% 4.91% 15.79% 5.49%-

37.00%

26.46% 15.06% 5.88%

Un portafolio hipotético con $100 en S&P 500® Total Return Index mas $100 exposición a ASTRO Excess Return Index overlay , (rebalanceado mensualmente) ha mostrado históricamente un mayor retorno riesgo ajustado y menores caídas que una inversión larga solamente en acciones.

50

75

100

125

150

175

200

225

250

275

Jan-01

Jan-02

Jan-03

Jan-04

Jan-05

Jan-06

Jan-07

Jan-08

Jan-09

Jan-10

Jan-11

100% SPTR Index + 100% BXIIAVUE Index

100% SPTR Index

___________________________1. Source: Bloomberg, Barclays Capital. Data for the period of January 2001- February 20112. Annualized Return is calculated as a cumulative return divided by the years in the observation period. Annualized Volatility is calculated as a square root of the sum of 252 squared natural logarithm daily returns in the observation period. Correlation is calculated based on daily normal logarithm returns. The Max Drawdown includes all consecutive negative months until

the occurrence of next up-month. Strategy performance is net of fees and costs.Disclaimer: Barclays Capital ASTRO US Indices were launched in May 2010, Barclays Capital ASTRO US Variable Indices were launched in March 2011. All information included above prior to May 2010 and March 2011, respectively, 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.



Conclusiones Los productos estructurados siguen siendo un instrumento fundamental en la asignación del portafolio. Para entender que

instrumentos son mas adecuados para cada portafolio hay que definir objetivos específicos y determinar el grado de tolerancia al riesgo.

Clase de Activos y Primas de Riesgo Objetivo

Diversificar el portafolio a través de multiples clases de activos o centrarse en una o dos clases de activos específicos.

Invertir en una determinada Prima de Riesgo o propagar la inversión a través de una gama más amplia de fuentes de alpha (es decir, Arbitraje de Riesgo, Arbitraje de Valor Relativo, Carry Trade, Momentum, etc…).

Enfoque Estático vs. Dinámico

Interés de establecer y aplicar una asignación de portafolio constantemente vs. Mayor asignacion en estrategias basadas en las condiciones del mercado.

Los catalizadores de las decisiones de asignación de portafolio en distintos entornos de mercado.

Tolerancia máxima en la asignación de ponderaciones

Preferencia por la sencillez frente a la sofisticación

Envolventes legales (wrappers)

OTC Swap, Nota Estructurada…

Delta-1, Warrant, Protección Principal.

Certain Risk Factors

Market Risk:The return on Structured Investments is dependant on movements in the level, value and price of the reference asset (equity, basket of equities, equity index, commodity, commodity index and foreign currency). Thus, changes in the levels, values or prices of the reference asset will determine the amount payable on the Structured Investment. If the reference asset declines or remains unchanged, the return on the Structured Investment will be affected and may be less than the investor’s initial investment. The investor should be willing to hold the Structured Investment until maturity. If the investor sells the Structured Investment before maturity, the investor may have to do so at a substantial discount from the issue price, and as a result, the investor may suffer substantial losses. The price, if any, at which the investor will be able to sell the Structured Investment prior to maturity may be substantially less than the amount originally invested in the Structured Investment, depending upon, the level, value or price of the reference asset at the time of the sale.

Credit of Issuer:The types of Structured Investments detailed herein are senior unsecured obligations of the issuer, Barclays Bank PLC or Barclays Bank Delaware, as the case may be, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Structured Investments, depends on the ability of Barclays Bank PLC or Barclays Bank Delaware, as the case may be, to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of Barclays Bank PLC or Barclays Bank Delaware, as the case may be, may affect the market value of the Structured Investments and, in the event Barclays Bank PLC or Barclays Bank Delaware, were to default on its obligations, the investor may not receive the amounts owed under the terms of the Structured Investments.

Liquidity:There may be little or no secondary market for the Structured Investments. Barclays Capital Inc. and other affiliates of Barclays Bank PLC or Barclays Bank Delaware, as the case may be, intend to engage in limited purchase and resale transactions. If they do, however, they are not required to do so and may stop at any time, and there may not be a trading market in this product. If the investor sells the Structured Investments prior to maturity, the investor may have to sell them at a substantial loss. The investor should be willing to hold the Structured Investments to maturity.

Prior Performance: Hypothetical historical and historical results are not indicative of future performance of any underlier or Structured Investments described herein or any related investment. None of Barclays Bank PLC, Barclays Bank Delaware, or Barclays Capital Inc. makes any representation, assurances or guarantees that an investment in the Structured Investments will achieve returns consistent with historical or hypothetical historical results.

Price Volatility:Movements in the levels, values or prices of the reference assets or their respective components are unpredictable and volatile, and are influenced by complex and interrelated political, economic, financial, regulatory, geographic, judicial and other factors. As a result, it is impossible to predict whether their levels, values or prices of the reference assets will rise or fall during the term of the Structured Investments. Changes in the levels, values or prices will determine the payment at maturity on the Structured Investments. As the Structured Investments are linked to reference assets that may be unpredictable and volatile, we cannot guarantee that these changes will be beneficial to the investor, and therefore the investor may receive less than the principal amount at maturity. Any payment on the Structured Investments is subject to the creditworthiness of the Issuer.

No Dividend Payments or Voting Rights:As a holder of the Structured Investments, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the reference asset or the components of the reference asset would have.

Certain Risk Factors (cont’d)

Certain Built-In Costs Are Likely to Adversely Affect the Value of the Structured Investments Prior to Maturity:While the payment at maturity is based on the full notional amount of the Structured Investments, the original issue price of the Structured Investments includes the agent’s commission and the cost of hedging the issuer’s obligations under the Structured Investments through one or more of the issuer’s affiliates. As a result, the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC or Barclays Bank Delaware will be willing to purchase Structured Investments from you in secondary market transactions will likely be lower than the original issue price, and any sale prior to the maturity date could result in a substantial loss to you. The Structured Investments are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Structured Investments to maturity.

Potential Conflicts:Barclays Bank PLC or Barclays Bank Delaware, as the case may be, and its affiliates play a variety of roles in connection with the issuance of the Structured Investments, including hedging its obligations under the Structured Investments. In performing these duties, the economic interests of Barclays Bank PLC and its affiliates are potentially adverse to your interests as an investor in the Structured Investments.

Many Economic and Market Factors Will Impact the Value of the Structured Investments:In addition to the level of the reference asset on any day, the value of the Structured Investments will be affected by a number of economic and market factors that may either offset or magnify each other, including:

the expected volatility of the reference asset or its underlying components; the time to maturity of the Structured Investments; interest and yield rates in the market generally; a variety of economic, financial, political, regulatory or judicial events; and actual or perceived creditworthiness of the issuer, including actual or anticipated downgrades in the credit ratings of Barclays Bank PLC.

Barclays Wealth, the wealth management division of Barclays Capital Inc., may sell the Structured Investments to certain of its customers and may receive compensation from Barclays Bank PLC or Barclays Bank Delaware in this capacity.Barclays Wealth, the wealth management division of Barclays Capital Inc., may arrange for the sale of Structured Investments to certain of its clients. In doing so, Barclays Wealth will be acting as agent for Barclays Bank PLC or Barclays Bank Delaware and may receive compensation from Barclays Bank PLC or Barclays Bank Delaware in the form of discounts and commissions. The role of Barclays Wealth as a provider of certain services to such customers and as agent for Barclays Bank PLC or Barclays Bank Delaware in connection with the distribution of the Structured Investments to investors may create a potential conflict of interest, which may be adverse to such clients. Barclays Wealth is not acting as your agent or investment adviser, and is not representing you in any capacity with respect to any purchase of Structured Investments by you. Barclays Wealth is acting solely as agent for Barclays Bank PLC or Barclays Bank Delaware, as the case may be. If you are considering whether to invest in Structured Investments through Barclays Wealth, Barclays Bank PLC or Barclays Bank Delaware, as the case may be, strongly urges you to seek independent financial and investment advice to assess the merits of such investment.

DisclaimerThis document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only and without regard to the particular needs of any specific recipient. All information is indicative only and may be amended, superseded or replaced by subsequent summaries and should not be considered as any advice whatsoever, including without limitation, legal, business, tax or other advice by Barclays.

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, financial products or investments pursuant to the strategies described herein (“Products”), which shall be subject to Barclays’ internal approvals. Any offer of sale of any Product may only be made pursuant to final offering documentation and binding transaction documents and is subject to the detailed provisions, including risk considerations, contained therein. No transaction or services 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, modeling 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 modeling 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.

Strategies or investments of the type described herein may involve a high degree of risk and the value of such strategies or investments may be highly volatile. Such risks include, without limitation, risk of adverse or unanticipated market developments, risk of counterparty or issuer default, risk of adverse events involving any underlying reference obligation or entity and risk of illiquidity. In certain transactions, counterparties may lose their investment or incur unlimited loss. This brief statement does not disclose all risks and other significant aspects in connection with transactions of the type described herein. Prior to transacting, counterparties should ensure that they fully understand (either on their own or through the use of independent expert advisors) the terms of the transaction and any legal, tax or accounting considerations applicable to them.

Barclays Capital and its affiliates do not provide tax advice and nothing contained herein should be construed to be tax advice. Please be advised that any discussion of U.S. tax matters contained herein (including any attachments) (i) is not intended or written to be used and cannot be used by you for the purpose of avoiding U.S. tax-related penalties and (ii) is written to support the promotion or marketing of the transactions, the Products, or other matters addressed herein. Accordingly you should seek advice based on your particular circumstances from an independent tax advisor.

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

Investors should review the related offering documents, including the description of risk factors contained therein, prior to making an investment decision regarding any securities or products referred to herein. Such offering documents will include more complete descriptions of the risks associated with investment securities or products referred to herein. Any investment decision must be based solely on information in the offering documents, such investigations as the investor deems necessary and consultation with the investor’s own legal, regulatory, tax, accounting and investment advisors in order to make an independent determination of the suitability and consequences of an investment in the securities or products referred to herein. Any information provided by Barclays shall not form the primary basis of any investment decision.

Barclays Capital Inc., the United States affiliate of Barclays Capital, the investment banking division of Barclays Bank PLC, accepts responsibility for the distribution of this product in the United States. Any transactions by U.S. persons in any security discussed herein must only be carried out through Barclays Capital Inc., 745 Seventh Avenue, New York, NY 10019.

© 2011, Barclays Bank PLC (All rights reserved).

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