Free Writing Filed pursuant Registration 9 July 11, 2011
BARCLAYS CAPITAL
Pure Beta Indices
July 2011
Table of Contents
1. Executive Summary 3 \
2. Introduction odity to Index Comm Investing
3. Pure Beta Introduction 9
4. Pure Beta Methodology 12
5. Pure Beta Applications
6. Appendices 21
7. Certain Risk Considerations
8. Disclaimers 32
Executive Summary
?The Barclays Capital Pure Pure )are Beta Beta part Indices of Barclays s Enhanced ( family ?Traditional commodity e shortcomings, indices hav which include:
` Negative roll yield for commodities in contango
` Market moves nsparency due totra of index rules
` Failure to reflect commodity fundamentals ?Pure is Beta a rules-based, passively managed, ology that mitigate some of the above shortcomings y indices byof seeking investors with ive a more measure representat for et commodity returnsby mark a deferred month futures contract
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, investors 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, investors 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.
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Introduction to
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Spectrum from Beta to Alpha in
The commodity index lvedworld from traditional has yevo indices commodit(standard commodity indices to(enhanced long-short beta) rformance) alpha (or strategies outpe
Standard BetaDynamic Enhanced Portfolio Allocation Alpha Beta Strategies
Long Only Long Only Long Long Only / Short Category Long / Short
Barclays Capital
Commodity Index Pure (BCI) BetaVoyager
S&P GSCI ® BackwardationComBATS DJ-UBSCI SM Multistrategy Products RICI ® Portfolio rsification Dive Outperform Standard Valueing Invest Through Isolate Term Beta Observable Market Alpha Inflation Hedge Use of Optimization Characteristics Market Neutral Techniques (e.g. modified Manage Drawdown Risk
roll mechanism or weightings) Low Volatility
Objective* Reduce Volatility
*Objectives may not be achieved. An investment in products linked to commodity indices is subject to certain risks. See Certain Risk Considerations.
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Traditional Commodity Index
?Traditional commodity typically indices track the return futures contracts BCI, S&PGSCI(e ® and.g DJ., -UBSCI) SM
` To maintain exposure to the index futures intends it is necessary roll from the to front month contract before expiry,rby into contract the next(the s contract) neasecond roll period
` Roll when long a commodity roll involves index, tthe futures selling contract before ngexpiry the second andbuyi futures
` Roll Period the time window when exposure contract is into the second futures contract
The BCI, ® S&P and DJ GSCI -UBSCI SMstandard roll period th to th9 business day each month ?The return ondex a commodity can be broken in down into:
` Price movement of the futures contract
` Roll yield (as explained on the next
` Hypothetical T-bill component (for total
*Total return indices include a T-bill component as they are intended to measure the collateralized returns accrued from holding and rolling futures contracts
The techniques described above have considerations beyond the scope of this presentation; investors should consult legal, financial and tax advisors regarding their specific situation.
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Commodity Index Roll Yield
?Roll is yield an importantmodity component index of returns epend com on and the will shape d curve, i.e., backwardated d sloping) (downwar or contango sloping) (upward
Price Backwardation Contango Price
Time to expiry Time to expiry
?Assuming the price he futures and shape curve nt of and t remain long position a consta in a rolled:
` In backwardation, ve contract more expensi will cheaper be sold contract chased, and a pur creating positive roll, which yield can positively g position impact in ct a a lon futures contra
` In contango, a cheaper will be contract sold and ve contract more expensi purchased, negative roll, which yield canimpact negatively a long position ct in a futures
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Commodity Index Roll Yield
?A spot index tracks rn (changes the price in he the relevant retu futures contract) retical, and is nona -investable theo ?An excess x return tracks inde the returns and accrued commodity futures ?A comparison ofexcess spot indices return and indices nstrate impact that a positive e roll yield or negativ g can position have ?Roll yield is determined ifference in by the andexcess d spot indices for each individual commodity
Average Annual Roll Yield Contribution Index from 2001 to 2011 YTD Spot(Excess Return Return 1= Roll
7% 0% -7% -14% -21% -28% -35%
Aluminium Copper Lead Nickel
Zinc Heating Oil Brent Crude Gasoline
WTI Crude
Gas Oil Natural Gas Wheat
KC Wheat Corn Soybeans Coffee Sugar Cocoa Cotton Lean Hogs
Live Cattle Feeder Cattle Gold
Silver
S&P GSCI
DJUBS
1Source: Bloomberg. Data are from 1/31/2001 to 6/30/2011.
*Subindices used for individual commodity calculations are subindices of the S&P GSCI® Excess Return and S&P GSCI® Spot Indices. S&P GSCI® Excess Return and S&P GSCI® Spot Indices and DJUBSCISM Excess Return Index and DJUBSCISM Spot Index are used for overall index calculation.
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Pure Beta
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Front-end bias
?The front-end of the futures ally curve held for the acommodity outstanding highest number has the first or second futures contract)
` A large amount of tracks passive themoney benchmark raditional mmodity indices co indices);potentially (t than $ 1 150bn
` Due to the cy transparen of index rules, ommodities the prices can of be certain impacted ?The front-end has historically tures been curve the and steepest roll therefore yield part is of
` For contango markets, therout investing on the owinvestors fur curve mayto all potentially negative roll yield ?The front-orically end hashist been thehe most futures volatile curve part of t
` The front-end is the part of t the exposed curve ental tothat fundam supply tends and to
??Open interest is futures contracts commodity
??The chart depicts how outstanding open curve, resulting from GSCI ®, DJ-UBSCI SMand other indices.
??The average percentage open interest in the commodities in ® and the DJ-UBSCI SMis ~16%.
Snapshot of % of Total Outstanding Open Interest in Front
WTI Crude Brent Crude Products Natural Gas and Heating Oil Wheat Copper
Securities Gasoline Corn Aluminium Soybean Gasoil Gold Live Cattle Sugar Lean Hogs Nickel Coffee Cotton Zinc Silver Kansas Wheat Lead Feeder Cattle
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Source: Barclays Capital, as of April 26, 2011 in OTC Products and Securities |
* Source: Bloomberg. Data are as of May 31, 2011. Subindices used for individual commodity calculations are subindices of the S&P GSCI ® Excess Return and DJ-UBSCISM Excess Return. This chart is for illustrative purposes only. Past performance is not indicative of future performance. The chart assumes $185bn in index AUM in OTC Products and Securities.
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Commodity Markets are More than the
?Commercial hedgers and investors ts throughout have exposure the at futures ?To get a more holistic the price measure of re a commodity, of Betaconsiders multiple Pu , not nearby contract ?By combining information price and open on the contracts interest ofa the futures better measuresof economic a commodity value
Existing Liquidity Pockets Participants have exposure at ve
WTI Crude Oil per(USD bbl)
102 101 100 99 98 97 96 95 94
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Tenor (Months)
Source: Bloomberg and Barclays Capital as of 30 June 2011
Nearby Open Interest
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Open Interest |
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Pure Beta
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Pure BetaOverview of the Methodology
?more Pure representative Beta usespproach quantitative of to the generate commodity id turns tenor commodity that curve that hasristics specific(described characte wing pages) on the ?allocation Pure Beta uses forcation each multi commodity, process -step dislocation allo to that that implement is
For each
Front Year 1 : Average settlement prices upcoming 12 months open interest Tenor 2 : Index Nearby deferred up contracts to 11 LiquidityAny screening: tenor with outstanding 7% of total open year are excluded
Definitions
Investment
Step 1 Calculate the rortracking of each Price of the contracts in the weighted by their Step 2 Calculate quidity tenor li
or
Step 3 outCalculate ocation tenordisl index interest less than interest Step 4 of Determine the front Pure Beta from the allocation
1 The Front Year Average Price for a commodity is constructed to measure the theoretical weighted by average open interest price of for the such front futures year contracts. of futures contracts for that commodity,
2 A Tenor Index for a commodity tracks the performance of holding and rolling a series of futures contracts for that commodity.
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Methodology (1 of 3)
Step 1: Calculate the Front Year Step Average 2: Calculate Price (FYAP) thefor Commodity Tenor Index to the The Front Year Price Average(FYAP) is Pure an open Beta determines enor Indices the interest-weighted average price bestproxies of contracts ear for average the with front expiries in the next 12 months measuring the rror tracking of eache The FYAP is designed be a moreto reflective front year average price measure ofnomic the true value eco of aTracking given error is the commodity front thanthe month pricemonths of differences the front year priceaverage and a
Open% of Total
Price
Interest Open Interest
Contract 1 348,022 37.7% 77.28
Contract 2 102,819 11.1% 78.66
Contract 3 90,525 9.8% 79.84
Contract 4 28,414 3.1% 80.74
Contract 5 24,735 2.7% 81.52
Contract 6 107,030 11.6% 82.24
Contract 7 27,728 3.0% 82.85
Contract 8 13,753 1.5% 83.36
Contract 9 26,196 2.8% 83.86
Contract 10 15,506 1.7% 84.37
Contract 11 15,823 1.7% 84.91
Contract 12 123,804 13.4% 85.46
Front Year Average 80.27
Tracking Error to FYAP
Tracking Error to FYAP
7% 6%
5% 4% 3% 2%
1% 0%
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2 3 4 5 6 7 8 9 10 11 12 |
Tenor Index
The table and chart above are hypothetical and for illustrative purposes only. They should not be viewed as an indication or prediction of future results.
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Methodology (2 of 3)
Step 3: Filter Out
Tenor Indices with a of less e than removed 7% ar to a less liquid contract Percentage open interest open interestf the Tenor s contract Index the commodity s front year n interest total particular day
Tenor Step 4: Indices Filter Out
Pure an allocation Beta identifies Indices tothat experiencing unusual for Pure a Tenor Beta assumes Index normal is that the divided the volatility by of a Tenor ope maturity on any Pure Beta seeks to avoid this downward-sloping
Tenor Index Open Interest% of Total OI Eligible?
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92,462 16.8% ? |
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62,238 11.3% ? |
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41,772 7.6% ? |
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63,324 11.5% ? |
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23,670 4.3% ? |
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58,819 10.7% ? |
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63,250 11.5% ? |
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53,107 9.7% ? |
9 41,954 7.6% ?
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17,790 3.2% ? |
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17,200 3.1% ? |
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14,368 2.6% ? |
Curve
Volatility
50% 45% 40% 35% 30% 25%
Dislocation
Downward volatility
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2 3 4 5 6 7 8 9 10 11 12 |
Tenor Index
The table and chart above are hypothetical and for illustrative purposes only. They should not be viewed as an indication or prediction of future results.
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Methodology (3 of 3)
Tracking Error to
Tracking Error to FYAP
7% 6% 5% 4% 3% 2% 1% 0%
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2 3 4 5 6 7 8 9 10 11 12 |
Tenor Index
Filter Filter
Pure Beta allocates to a contract along the futures curve that has the lowest tracking error to the Front Year Average Price, subject to liquidity and curve dislocation constraints
The table and chart above are hypothetical and for illustrative purposes only. They should not be viewed as an indication or prediction of future results.
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Pure Beta
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Application of Pure Beta to WTI
?Hypothetical-historical ical allocations andnce histor of and Pure performa Beta
Pure Beta
Number of months deferred
11 10 9 8 7 6 5 4 3 2 1 0
Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10
*0 Month deferred refers to the nearby Tenor Index
Historical
1,000.00 900.00 800.00 700.00 600.00 500.00 400.00 300.00 200.00 100.00 0.00
Barclays Capital Series-2 WTI Crude Pure Beta Index (ER) BCI WTI Crude Oil (ER)
Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11
* Pure Beta as applied to WTI crude oil was launched in October 2009. All information included above, prior to October 2009, is hypothetical historical.
Pure Beta as applied to the BCI was launched in March 2011. All information included above, prior to March 2011, 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. All performance statistics are calculated using month end data.
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Pure Beta Methodology Applied to
?The Pure Beta can methodology be applied to any:
` Benchmark commodity arclays index Capital(e.g. x(ER) B Commodity orSM DJ orInde UBSCI S&P®) GSCI
` Benchmark sector clays index Capital(e.g. Commodity Bar nergy (ER), Index or the E SM Dow Agriculture Subindex ® Industrial or S&P Metals GSCI Index (ER)), or
` Single commodity x (e.g.inde Barclays Capital WTI Crude Index) ?Each index, utilizing eta Methodology, the Pure according is B calculated tonderlying the relevant index except that:
` The contract allocation mined in accordance is deter re Beta with methodology the Pu
` The new allocations ntedduring are andard impleme the riod roll st th to(5 th pe business 9 days),
` Each index targets the same weights eking to as reduce the l tracking underlying potentia underlying index, ing the especially annual eJanuary dur rebalanc
S&P GSCI® is a trademark of The McGraw-Hill Companies, Inc.
DJ-UBSCISM is a joint product of Dow Jones Indexes, a licensed trademark of CME Group Index Services LLC and UBS Securities LLC
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Pure Beta applied to Barclays
?Pure Beta applied to
` (ER): Bloomberg cker BCC1C1PP ti
` (TR): Bloomberg cker BCC1C1PT ti ?Pure Beta applied to
` Higher annual than returns the
` Lower volatility
Risk & Return
BCI
Pure Beta
BCI
Return (p.a.) 9.8%
15.7%
Vol (ann.)
18.9%
18.0%
Tracking 1error
(bps)
2.8%
1Tracking error is calculated as the standard deviation of the difference in monthly returns times the square root of 12 (to annualize)
Pure Beta
600 500 400 300 200 100 0
Barclays Capital Pure Beta BCI (ER) BCI (ER)
Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10
Performance vs.
14% 12% 10% 8% 6% 4% 2% 0%
2002 2003 2004 2005 2006 2007 2008 2009 2010 YTD
Source: Bloomberg and Barclays Capital as of 30 June 2011
BCI and Pure Beta as applied to BCI were launched in March 2011. All information included above, prior to March 2011, 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. All performance statistics are calculated using month end data.
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Appendices
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Appendix 1: Pure Beta applied to BCI
Pure Beta on BCI (Historicalyand Returns) Hypothetical-
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year -2003 7.6% 3.1% 6.8% -0.7% 6.0% -1.4% 1.3% 4.2% 0.3% 6.6% 1.0% 7.1% 31.38% 2004 2.7% 8.1% 2.6% -0.9% 2.8% -2.6% 2.6% 0.8% 6.5% 3.2% -0.5% -3.6% 23.09% 2005 1.7% 7.8% 4.7% -4.5% 0.4% 3.6% 4.5% 4.8% 2.5% -4.9% 0.9% 5.3% 29.38% 2006 5.6% -5.0% 4.1% 9.7% 1.2% -1.0% 2.0% -2.9% -4.8% 3.2% 4.9% -3.5% 12.92% 2007 -1.6% 4.3% 2.1% 1.5% -1.0% 1.0% 3.6% -3.9% 8.3% 5.6% -2.5% 5.0% 24.13% 11.4 -2008 5.0% % 4.8% 4.0% 4.7% 9.0% -9.2% -7.4% 11.5% 23.9% -7.8% -3.8% 33.61% 2009 -3.9% -2.9% 5.7% 1.2% 14.6% -0.8% 3.7% 0.6% -0.1% 5.1% 5.4% 0.6% 31.64% 2010 -7.2% 4.8% 1.4% 3.5% -8.2% -0.4% 5.2% -0.6% 7.7% 4.7% 0.6% 9.4% 20.88% 2011 1.2% Comparison 3.4% 3.1% 5.1% of Pure -5.2% ith -4.5% Beta BCI -(Historical onBCI ticalw-historical andHypothe2.74% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 2003 0.0% -3.7% 3.8% 0.6% -0.1% 0.9% 0.1% 0.5% 0.6% 0.2% 0.5% 0.2% 3.37% 11.63 2004 1.2% 0.4% -0.4% 0.4% 2.5% 0.7% 0.4% 2.3% -0.5% 1.4% 1.3% 1.5% % 2005 0.4% -0.1% 0.9% 1.4% 0.6% 1.2% -0.1% -1.6% 1.1% 0.9% 1.3% 1.7% 8.14% 11.19 2006 1.9% 1.0% 0.6% 0.7% 0.5% 0.9% -0.2% 1.7% 1.1% 0.4% 0.7% 1.5% % 2007 0.0% 0.4% 0.3% 0.0% 0.1% 0.4% 0.7% 0.1% -0.4% 0.9% 0.7% 0.6% 3.70% 2008 0.9% -0.2% 0.2% 0.6% 1.2% 0.5% 0.3% 0.3% -0.1% 0.6% 0.3% 1.6% 6.21% 2009 0.7% 0.6% 0.4% -0.3% -0.6% -0.1% 0.2% 0.0% -0.1% 0.1% 0.5% -0.2% 1.27% 2010 0.1% -0.1% 0.1% 0.8% 0.3% -0.4% -0.3% 0.9% -0.4% 0.1% 0.0% -0.2% 0.85% 2011 0.6% 0.2% 0.4% 0.2% 0.3% 0.2% -Source: BloombergandBarclays-Capital as -of 30 June 20110.77%
BCI and Pure Beta as applied to BCI were launched in March 2011. All information included above, prior to March 2011, 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.
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Appendix 2: Pure Beta applied vs. Nearby to Single
?Historically the logy Pure has Beta d improve performance methodo versus the exNearby for every ind
Historical and Hypothetical-lied historical to Single Returns of Pure data applied to single commodities VS. nearby index
Base Metals Energy Agriculture Livestock
35%
25%
15% 5%
-5%
-15%
-25% -35%
-45%
Pure Beta Return
Nearby Return (Barclays Capital Single Commodity Indices)
Al umi Cop ni um per ( L Co ME ppe r (U
S) Lea d Ni cke Zi Brent nc C rude Gas Oi He at i ng NaturalOil Gas Unl ead WTI ed Crud e Co coa Coffee Corn Kansas Cotton Whea t Be an SOi oy S bea oy ns bea n Mea Sugar Fee Wheat der Cat t Lean le Hogs Live Ca t tl e Gold Silver
Average Annual Returns
Source: Bloomberg and Barclays Capital. 31 December 2001 to 30 June 2011
Barclays Capital Single Commodity Indices and Pure Beta as applied to Barclays Capital Single Commodity Indices were launched in October 2009. All information included above, prior to October 2009, is hypothetical historical. You should not rely on historical or hypothetical historical information. Such historical and hypothetical
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Appendix 3: Recap of Pure Beta
Tracking Error to FYAP*
Tenor Liquidity percentages*
8%
7%
FYA 6% to
5%
Error 4% 3%
Tracking 2% 1%
0%
1 |
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2 3 4 5 6 7 8 9 10 11 12 Tenor Index |
Percentages Open Interest
18% 16% 14% 12% 10% 8% 6% 4% 2% 0%
1 |
|
2 3 4 5 6 7 8 9 10 11 12 Tenor Index |
Curve Dislocation*
50%
45%
40%
Volatility 35% 30%
25%
Dislocation
Downward sloping volatility profile
Select Tenor Index 6
Tenor Index selection*
Select Tenor Index 6
1 |
|
2 3 4 5 6 7 8 9 10 11 12 Tenor Index |
8%
7%
6% FYA to 5% Error 4% Tracking 3% 2%
1%
0%
Illiquid
Dislocated
Eligible
Selected
1 |
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2 3 4 5 6 7 8 9 10 11 12 Tenor Index |
*Stylised example for illustrative purposes only
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Appendix 4: Barclays Capital Commodity
?Barclays Capital x aims Commodity to represent Inde of a long the-only returns passive commodities
` Launched in 11, March it provides 20 a benchmark or returns to y in measure to a equity similar sect the S&P ® or 500 FTSE ® 100 Index
` Typically tracks rmance the of return nearby perfo ures commodity fut ?Selection Criteria:
` Daily traded dollar volume is commodities used as a parameter to
` Exchange traded,ties physical whichcommodi areUSD are denominated considered ?Weighting:
` Weights are daily linked traded to the(3 dollar yearaverage) volume
` Maximum Weight Limits
Sector capped at 35%;
Each single commodity capped at 20%
` Target weights in determined December each year ?Rolling:
` Roll Periodthe 5th ness to 9th daybusi each month
` Futures Scheduledefines which contracts the index tracks
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Appendix 5: Commodity Benchmark
??Benchmark Indices different have exhibited risk primarily return different due profile to their
Commodity Beta
350 300 250 200 150 100 50 0
Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11
BCI S&P GSCI ® DJ-UBSCISM
Risk & Return June(Dec
BCI S&P GSCI ® DJ SM Return (p.a 9.) 8% 4.3% 6.2% Volatility18(ann.9% .) 25.2% 17.8%
Source: Bloomberg and Barclays Capital as of 30 June 2011
Source: Bloomberg as of 30 June 2011
S&P GSCI ® is a trademark aw-of Hill The Companies, McGr Inc.
DJ-UBSCI SMis a joint product Indexes, of Dow a licensed Jones f CMEGroup trademark Index LC and o UBS LLC.
The BCI was launched 011. in AllMarch information bove, 2 prior included topothetical March 2011, not rely on historical tical historical Such hypothe historical information historical and. hypothetical future performance e statistics. All e calculated performanc sing ar month u end data.
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Appendix 6: Index Composition of
?BCI sector weight ensure limits relatively aim ition to stable over time compos
?Historically, sector weight ilar distribution toSM DJ than -UBSCI S&P of ® the GSCIBCI is
Barclays Capital
100% 80% 60% 40% 20% 0%
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Energy Industrial Metals Precious Metals Agriculture / Others
S&P GSCI GSCI ®
100% 80% 60% 40% 20% 0%
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Energy Industrial Metals Precious Metals Agriculture / Others
DJ- SM
UBSCI
100% 80% 60% 40% 20% 0%
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Energy Industrial Metals Precious Metals Agriculture / Others Source: Bloomberg as of 28
S&P GSCI ® is a trademark aw-of Hill The Companies, McGr Inc.
DJ-UBSCI SMis a joint product Indexes, of Dow a licensed Jones f CMEGroup trademark Index LC and o Services UBS L LLC
BCI was launchedll in information March 2011 prior.included A to March is above, hypothetical 2011, historical t rely. on historical torical hypothetical information orical his. and Such hypothetical cal hist information histori e of is future not performanceAll performance statistics are calculated using month end data
BARCLAYS CAPITAL
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Appendix 7: Commodity Benchmark o BCI
??Benchmark Indices different have exhibited risk primarily return different due profile to their
Risk & Return June(Dec
Commodity Beta
Pure Beta BCI BCI
S&P GSCI ® DJ-UBSCI SM
600 500 400 300 200 100 0
Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11
BCI S&P GSCI ® UBSCI SM
Return (p 15.a . . 7% ) 9.8% 4.3% 6.2% Volatility 18(ann.0% . 18) .9% 25.2% 17.
Source: Bloomberg and
Sector
BCI S&P GSCI ® UBSCI SM
Energy 37.2% 37.2% 69.3% 34. Base Metals 16.3% 16.3% 8.0% 17.
Precious Metals 22.0% 22.0% 3.3% 15. Agriculture & 24.6% 24.5% 19.4% 33.
Livestock
Source: Bloomberg and Barclays Capital as of 3o June 2011
Source: Bloomberg as of 30 June 2011
S&P GSCI ® is a trademark aw-of Hill The Companies, McGr Inc.
DJ-UBSCI SMis a joint product Indexes, of Dow a licensed Jones f CMEGroup trademark Index LC and o UBS LLC.
BCI and Pure Beta CI as were applied launched to. All B in information March 2011 included hypothetical l. historica You should not hypothetical rely on historical ion. Suchhistorical informat etical historical information ndicative re performance of is futu not Alli performance. calculated statistics ng month usi . are end
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Certain Risk
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Certain Risk Considerations
PURE guarantee BETA: Although that the the Pure Pure Beta Beta methodology objectives methodology. s in the seeks If will commodities the to succeed Pure mitigate Beta markets in ve these distortion methodology or associated backfires, d supplyproves distortions with thento anbe utilizing Pure Beta methodology g investment may underperform in instruments SM a correspondin, to the, S&P GSCI
(BCI) or other commodity indices, gin. possibly by a substantial ® DJ linked -UBSCI mar the Barclays MARKET level, RISK: The value return and on price structured of such investments ces . utilizing or product linked the to Pure Structured products a Beta methodology or) Investments is indi dependant( on Structured Investment. If Pure a Pure ns Beta index) unchanged, Beta Product Thus, Product the changes(each declines return in on the or the level fected remai Structured. ermine of any the Pure Investment amount Beta substantial The investor discount should be from willing the t investor until issue to hold maturity price, may the suffer and Structured. Ifas substantial the result, investor which Investmen t before the losses sells maturity, investor. ethe The to sell Structured Structured price, will thethe investor be if abl time Investment of the prior sale. to maturity amount may be originally substantially invested lessthan ding the the upon, Structured the level Investment, of the CREDIT indirectly, OF The ISSUER: types an obligation of Structured of made any Investments on third the unsecured party Structured. detailed Any obligations payment Investments, herein Barclays to ofare be the depends senior Bank issuer, not, y PLC its either on Barclays to obligations the satisf come Bank PLC due. was As to a result, default the on its actual t sreceive of obligations, Barclays and the perceived amounts Bank the PLC creditworthines investor owed may under affect may estments ured the no the Investments terms. market ofvalue the and, of in PAST Bank PERFORMANCE: PLC nor Hypothetical Barclays Capital historical surances Inc. and makes vehistorical or of any guarantees future representation, results performance thatare an tment investment not of as any d will indicati investment Pure achieve in Beta. returns Product Neither historicall or historical hypothetica results.
LIQUIDITY: purchase There and may resale be little transactions or no not. secondary nvestments required If they market. do, to Barclays do c. however, for so and the and iliates Capital other Structured they may not ays aff stop of are In be Bank Barcl aat trading I any PLC time, intend market and to in investor Investments sells to the maturity. Structured e investor Investments may have prior toto sell maturity, them stor at should th a substantial be willing loss to. PRICE interrelated VOLATILITY: Movements political, c, financial, in theeconomi level phic, regulatory, of judicial any other s Pure respective geogra factors and Beta Product . As components a toresult, or predict such are it Product whether unpredictable is influenced impossible the level by and rise these or changes fall during will be the beneficial term nges the of the in return to the Structured the level at investor, maturity will Investments and determine maytherefore be on Structured. the adversely Cha the Structured payment Investments affected at Investments. maturity. Any We creditworthiness of the Issuer.
CERTAIN on BUILT the -IN full COSTS notional ARE LIKELY amount, the TO original of OF ADVERSELY the THE Structured STRUCTURED issue AFECT price THE Investments INVESTMENTS of VALUE sthe agent Structured :PRIOR WhileTO the Investments MATURITY payment the based s commission and the affiliates issuer s obligations of Barclays ill under be willing Bank the uctured PLC Structured to wpurchase ore Investments ofInvestments the sStr affiliates issuer from through. you ice, As in ill aif secondary one result, likely any, orat m be Capital the market which lower prInc Barclays. than and the should any sale be prior able to and the willing maturity al to to loss hold maturity date to your. could you. Structured result The Structured in Investments a substanti be short Investments -term trading are not POTENTIAL under the CONFLICTS : Structured BarclaysBank Investments PLC he and economic. its Inin performing affiliates connection interests these play of with Barclays a duties, the variety repotentially issuance Bank of including roles PLC of adverse and the hedging its Structured to investor in the Structured Investments.
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Certain Risk Considerations
SALES THROUGH BARCLAYS Barclays WEALTH: Wealth, the wealth management ital Inc. , division may arrange of Barclays for the ts to Cap sale certain clients. The role of ertain Barclays services Wealth toas such a provider customers k PLC, ofand cas as the agent case for may be, distribution of vestments the Structured to investors ateIn a potential may cre conflict ofuch interest, clients. which Barclays maybe Wealth for Barclays Bank PLC, as the ng case whether maybe to. invest If you in are the consideri Structured lays Wealth, Investments we strongly independent financial and investment s of suchadvice investment to assess. the merit MANY ECONOMIC AND MARKET FACOTRS WILL IMPACT TRUCTURED THE INVESTMENTS: VALUE In OF addition THE S to the level of a value of the Structured Investments r of economic willbe and affected marketfactors by fy numbe each that other, may either including: offset ` the expected volatility of ing the components; Pure Beta Product or its underly ` the time to maturity of the Structured Investments; ` interest and yield rates in the market generally; ` a variety of economic, financial, cial events; political, and regulatory or judi ` the creditworthiness of the ated issuer, downgrades including inthe actual credit oranticip ratings of Barclays Bank
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Disclaimers
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DJ-UBSCI SMDisclaimer
The Dow Jones-UBS Commodity SMare a joint Indexes product of Dow Jones of CME Indexes, Group a Index licensed CME Services Indexes), trademark and LLC Securities UBS LLC Securities), ( and have beenDow licensed Jones, ® DJ, Dow for Jones use. , Indexes UBS, Dow Jones-UBS Commodity SM , andDJ-UBSCI SM Index are service marks of Dow Jones Dow Trademark Jones) and UBS UBS Holdings, AG AG), ( asthe LLC case( may be, have been urposes Barclays Bank Licensee PLC) .(the affiliates The products w. Jones, shown None Products of UBS herein, ) Do are AG, not(the UBS sponsored, exes Securities, or any endorsed, of CME stheir or Ind affiliates BS sold subsidiarie AG, or UBS sentation promoted makes Securities any or by repre Dow warranty, CME Jones, Indexes or U The owners only of relationship or counterparts of Dow topublic the Jones, Indexes Products regarding UBS or AG, or any UBS any the of Securities, member advisability their subsidiaries commodities of nsee the CME is of the investing generally or licensing affiliates in or of names and service marks SM , and which of is the determined, DJ-UBSCI composed nconjunction and calculated with by UBS CME
Licensee or the Products. Dowdexes Jones, have UBS no Securities obligation and toCME take he owners Intheneeds of the of Products the determining, composingSM . or None calculating of Dow Jones, DJ-UBSCI UBS AG, UBS y ofSecurities, their respective CME Indexes or for Products or has are participated to be converted inprices the into AG, determination at, cash UBS or . Securities, quantities Noneof ofthe Dow CME of timing Jones, determination the Indexes r Products of, UBS affiliates or any to or of obligation be calculation shall their issued have or Securities, including, without CME Group limitation, Inc. and tion d affiliates to their with Products respective the may administration, customers, independently subsidiaries cts oducts connec marketing. issue an Notwithstanding unrelated and/or or trading sponsor to the the of issued by Licensee, but which with maybe the similar Products to. and Incompetitive addition, roup UBS Inc. AG, and UBS their actively trade commodities, commodity ures (including indexes and the commodity Dow Jones SM andfut UBS Dow Commodity Jones-UBS Index Return SM ), as well as swaps, options o the and performance derivatives of which such are commodities, linked modityfutures commodity. It trading activity will affectmodity the value SMand Index Products. of the Dow Jones-UBS Com This information materials relates t relate only to the toProducts exchange- and traded does any physical no of the Dow commodities Jones- SM UBS components. Purchasers of thetProducts the inclusion should ofnot afutures conclude contract tha ditySM Index is in any the form Dow of recommendation of the futuresge contract -traded physical or the underlying commodityexchan by es, Dow CME Jones, Indexes UBS or AG, any UBS or affiliates formation. The rmation in inthe info materials garding the re Dow Jones- SM UBS components Commodity has Index been derived documents. None of Dow Jones, UBS xes AG, orany UBS of Securities, their subsidiaries CME Inde diligence or affiliates inquiries has Jones-UBS Commodity SMcomponents Index in connection with Products AG, UBS. Securities, None of Dow CME Jones, Indexes UBSor makes any representation that sthese or any publicly other publicly information available available document regarding Jones-UBS the Commodity Dow SMcomponents, including without limitation ct a the description prices of of such factors components, that affe are accurate or complete NONE OF DOW JONES, UBS AG, UBS SECURITIES, F THEIR CME SUBSIDIARIES INDEXES OR OR ANY AFFILIATES O GUARANTEES R THE COMPLETENESS OF THE DOW JONES-UBS SMORCOMMODITY ANY DATA INDEX RELATED THERETO AND NONE OF SECURITIES, DOW JONES, INDEXES DOW JONES, OR UBS ANY AG, OF THEIR UBS SECURITIES, SUBSIDIARIES CME NY SUBSIDIARIES OR INDEXES LIABILITY AFFILIATES OR FOR OR ANY SHALL AFFILIATES ANY OF HAVE THEIR ERRORS, A MAKES OMISSIONS. ANY WARRANTY, ED, OR NONE AS OF RESULTS TO BE OBTAINED CENSEE, BYTHE OWNERS LI OF THE OR ANY Products OTHER PERSON OR ENTITY FROM THE USE COMMODITYSM INDEX OR ANY DATA RELATED THERETO. NONE OFCURITIES, DOW JONES, CME UBS INDEXES AG, UBS ORSE ANY OF AFFILIATES MAKES ANY EXPRESS OR IMPLIED Y DISCLAIMS WARRANTIES ALL AND WARRANTIES EXPRESSL OF MERCHANTABILITY PARTICULAR PURPOSE OR USE WITH RESPECT MODITY TO THE INDEX DOW SMORJONES ANY DATA -UBS RELATED COM THERETO.
THE LIABILITY FOREGOING, FOR ANY IN NO LOST EVENT PROFITS SHALL OR DOW INDIRECT, R CONSEQUENTIAL JONES, IES, CME PUNITIVE, UBS INDEXES AG, DAMAGES UBS SPECIAL OR SECURIT ANY OR LOSSES, OF THEIR EVEN SUBSIDIARIES E BILITY IF ANY THEREOF. LICENSEE, OTHER THERE THAN ARETY NO UBS BENEFICIARIES THIRD AG AND PAR THE LICENSORS OFNTS ANY OR AGREEME OF ARRANGEMENTS CME INDEXES. AMONG UBS SECURITIES,
BARCLAYS CAPITAL
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S&P GSCI ® Disclaimer
The S&P GSCI Index (the Index) 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 any representation or warranty, express or implied, to the owners of the Index or any member of the public regarding the advisability of investing in securities generally or in the Index particularly or the ability of the Index to track general commodity market performance. S&Ps and its third party licensors only relationship Barclays Capital is the licensing of certain trademarks and trade names of S&P and the third party licensors and of the Index which is determined, composed and calculated by S&P or its third party licensors without regard to Barclays Capital or the Index. S&P and its third party licensors have no obligation to take the needs of Barclays Capital or the owners of the Index 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 Index or the timing of the issuance or sale of the Index or in the determination or calculation of the equation by which the Index is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Index.
NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN
COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.
The S&P Marks are trademarks of Standard & Poors Financial Services LLC, and have been licensed for use by Barclays Capital. The GSCI is not owned, endorsed, or approved by or associated with Goldman Sachs & Co. or its affiliated companies.
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34
Disclaimer
Barclays prospectus Bank dated PLC August has filed 31, 2010, aement registration prospectus) the relating relevant with statement to the prospectus the securities, SEC(including for identified Bank suppl the PLC and offerings has above. other filed documents of Before with the prospectus information or about pricing Barclays supplement Bank g dthe above PLC. for risk and Buyers complete factors the should offerings details relating(includin rely identifie documents to upon ospectus the the offering) prospectus, and supplement, other. You documents the may and filed arrange for to free send by you visiting the prospectus, www EDGAR.sec. final . Alternatively, gov on pricing the prospectus SEC supplement l website Inc supplement, Barclays., Barclays at and Capita u agent any request Wealth free ordealer it writing or by any calling Avenue Barclays -Attn: Wealth US sales InvSol representative, Support, 2275 New (Extension York, such NY dealer 210019. -3430) or.1 A888 copy ed -227 of fromthe Barclays prospectus Capital may The following disclaimer shall presentation be applicable other to than the in use connection ffering of this of with any securities: an SEC-This the particular presentation needs has of been any prepared is specific vestment indicative by recipient banking Barclays only division . and Capital, All may Barclays information of), be by the Barclays amended, subsequent forin informational Bank superseded summaries PLC(purposes or and full considered in the as binding any advice transaction whatsoever, on, legal, document(s) including business, . without tax orlimitati other terms advice and conditions by Barclays of . any This presentation (collectively, shall notthe constitute nt, an offer an of underwriting financing, n of commitme an an offer offer to to sale sell, buy any orthe documentation investmentsProducts), and binding which transaction shall tothe be internal subject detailed documents uding approvals to provisions, Barclays. and riskconsiderations, Any subject ained incl offer e therein. made ofpursuant cont No of transaction any to recommendations is contemplated subsequent of without any kind. Barclays formal Accordingly, y determine, agreement. with you ipal Barclays must your and independentl own not isadvisors, acting as of advisor any solely the Product or appropriateness. as nvestment fiduciary princ Neither information assumes any responsibility contained fiduciary herein. or bility accepts ccuracy Barclays for any or any does completeness related consequences, not guarantee lia of, ising including and pect the provides from a to, the consequential information no use assurances of this document and which is stated ased to have upon been trade obtained and statistical from ources or isservices. b or other Products of adverse of or the unanticipated type described market a rparty high in this developments, degree or issuer presentation of adverse risk default, risk and events may of the risk underlying involve hly counte involving value of volatile of reference such any ude, . Such Products without mitation, risks any illiquidity. legal, tax Prior and to accounting transacting, ully Barclays considerations understand you and should(either itsapplicable affiliates ensure on that your endent ing to do you own contained you not. expert f orprovide through advisors) in tax the the advice use the used should by be you construed for the to purpose be tax of s y discussion advice. and avoiding(ii) Please is US of written tax US be -tax related advised to matters support the penaltie that s not transactions, contained an the intended promotion in or such the written or addressed herein. Accordinglyour you particular should seek circumstances advice based from on y an independent tax The the indices content referenced within this in document this d, affiliated document endorsed, . Thisdocument that with or promoted are theis not Barclays not in by sponsore liates ices any any Group way and of and these and their none the entities affiliates of owners these or of representation or warranty, express f the public or implied, regarding to the any accuracy member this document of the. information THESE INVESTORS MATERIALS SHOULD DO ENSURE NOT DISCLOSE THAT THEY ALL FULLY THE CANT RISKS THE UNDERSTAND ISSUES PRODUCT AND RELATED OTHER THE ANDTERMS SIGNIFI ANY TOTHE APPLICABLE OF PRODUCTS. RISKS. PRIOR NTIAL TO
© 2011, Barclays Bank PLC. All rights reserved.
BARCLAYS CAPITAL
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