POINT Innovative Multi-Asset Portfolio Analysis

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1 Index, Portfolio and Risk Solutions POINT Innovative Multi-Asset Portfolio Analysis The Difference Is Clear

2 POINT: Dynamic Decision Support Flexible portfolio and index reporting Draw from our vast database of current and historical data View constituent-level indicatives, security analytics and returns Aggregate along multi-dimensional breakdowns Drill down into individual sector holdings Apply context-specific custom views Compare historical data across multiple portfolios and indices Report on market exposures and sensitivities and track performance over time Explore changes in index composition over any period using index turnover reports Portfolio management Create and maintain portfolios through an automatic batch process Build dynamic transactional or position-based portfolios Generate daily holdings using trade date accounting Access index prices and analytics or override using custom data sources Model or proxy private placements, OTC derivatives and other securities as user-defined instruments Analyze the effect of potential trades using what-if analysis Organize portfolios into a hierarchical composite structure Easily export any report to XLS, PDF or CSV formats Benchmark management Access both Barclays and third-party indices across the equity and fixed income markets Define custom indices with flexible inclusion/ exclusion conditions Create composite indices using specific weights or analytic targets Generate index dynamics and turnover reports Manage exposures to specific tickers Contact the POINT Team to arrange for a free trial of POINT: [email protected] 2

3 POINT: The Difference Is Clear POINT combines an extensive multi-asset library of proprietary market data and state-of-the-art models to deliver a clearer understanding of portfolio sensitivities and drivers of performance. Global risk models Tracking error Monitor risk and create efficient hedge strategies Understand relative and absolute risk using intuitive, detailed, multi-factor risk models Decompose systematic, idiosyncratic and default risk exposures Partition risk across factors, sectors and customizable dimensions Capture cross-asset and issuer level correlations Use custom prices and analytics to fully understand portfolio risk Tail risk Evaluate Monte Carlo simulations to calculate Value-at-Risk (VaR) and Expected Shortfall (conditional VaR) Account for issuer concentration and default correlations Quantify tail risk contributions, including systematic, idiosyncratic and default risk Hybrid Performance Attribution (HPA) The HPA model enables clients to compare performance against a standard or custom index, another portfolio or cash. Daily transactional data is used to identify the sources of outperformance. HPA introduces elements of a risk factor-based framework into traditional sector-based attribution to create a custom hybrid approach Scenario analysis and stress testing Empirical scenarios Apply a scenario to portfolios instantaneously or over a time horizon, assessing the impact of hypothetical returns across market moves Define multi-currency government/swap curve movements and USD municipal curve movements Adjust horizon pricing using custom or historical sector betas Capture the impact of vega exposure to parallel and non-parallel shifts in the volatility surface Factor-based scenarios Leverages POINT s risk factor model framework for flexible scenario analysis Provides users with a single platform to investigate hypothetical multi-asset class scenarios Define hypothetical views on an index, portfolio or factor returns Results are sensitive to the covariance matrix selected and are well suited for multi-asset class portfolios Select pre-defined historical stress tests Define a multi-level partition to mimic a portfolio s management structure Choose market value or risk-based weights to measure exposure to currencies or sectors Account for P&L gained from intraday transactions Portfolio Optimizer The Portfolio Optimizer enables clients to construct, rebalance or hedge a portfolio at the click of a button, incorporating userspecified objectives and constraints, via a user-friendly interface. Target portfolio characteristics such as risk, analytics or userprovided data. Run fast and scalable linear and non-linear optimizations Replicate an index using tracking error minimization Analyze trade recommendations for strategy implementation Contact the POINT Team to arrange for a free trial of POINT: [email protected] 3

4 POINT: Global Multi-Asset Class Coverage Fixed income Equities and commodities Derivatives Global Government, Credit, High Yield and Inflation-Linked Securitized Products: MBS, ABS, CMBS and CMOs Emerging Markets: Coverage in 85 currencies Municipals: Comprehensive state database Swap curves in 37 currencies Treasury, Swap and Municipal curve-based analytics Common Stock, Closed-End Funds, ETFs, ADRs, REITs, Convertible Bonds, etc. Developed and Emerging Markets in 84 countries and 48 currencies Commodity futures for over 20 contract deliverables Exchange Traded: Bond Futures, Interest Rate Futures, Currency Futures, Equity Index Futures, Options on Futures, Equity Options and Equity Index Options OTC: Interest Rate Swaps, Caps/ Floors, European Swaptions, CDS, CDX/iTraxx, TRS and FX Forwards Capital structure analysis Applies a consistent methodology for analysis of corporate bonds, equities, convertible bonds and options Computes credit risk analytics such as Corporate Default Probabilities (CDP), Conditional Recovery Rates (CRR) and default correlations Utilizes macroeconomic dynamics to produce timely default predictions Default probability POINT CDP Median default probability prior to default Rating Incorporates accounting data adjustments for more accurate comparisons across industries Enables relative value analysis by comparing default implied ratings Months to default Actionable research POINT is the product of more than a decade of proprietary research. The benchmark content, valuation models and portfolio analytics are the result of continued refinements by the POINT modeling team and the collective efforts of Barclays Research. The Index, Portfolio and Risk Solutions team within Barclays Research provides an integrated client service model for POINT providing support and training backed by a wealth of experience in custom benchmark development, risk management and portfolio advisory services. Contact the POINT Team to arrange for a free trial of POINT: [email protected] 4

5 POINT: Advanced Analytics Platform POINT provides comprehensive solutions for every stage of the investment process. The platform leverages Barclays research and technology to offer advanced multi-asset portfolio construction, risk forecasting and performance analysis. Why POINT? POINT provides dynamic analytics to meet the needs of a diverse customer base in a rapidly changing market environment. The platform combines the intellectual capital of Barclays leading research and trading operations with a highly scalable technology solution, processing tens of thousands of portfolios and millions of unique securities per night. Key features Slice and dice index and portfolio data Model risk across all asset classes Employ advanced portfolio construction tools Evaluate performance attribution 6% 7% 7% 57% Client types 10% 13% Other Pension Fund Commercial Bank Hedge Fund Insurance Company Money Manager POINT: Comprehensive and user-friendly research platform delivering powerful portfolio analysis Fixed income Derivatives Equities Commodities Global coverage Custom user-defined instruments Major indices and custom benchmarks Scalable platform Flexible front-end for intraday analysis Automated reporting and portfolio maintenance Robust, enterprise-wide batch processing Client data security Single-security analytics Indicative, pricing and analytical data Option-adjusted analytics based on government, swap and municipal curves Equity sector betas and sensitivities to fundamental and technical factors Multi-factor risk models Portfolio analysis Hybrid Performance Attribution Portfolio optimization and hedging tools Scenario analysis What-if analysis of potential trades Client cross-asset solutions Access to industry-leading valuation models Consistent view of portfolio metrics Integrated understanding of risk across asset classes Dedicated client service and global teams Contact the POINT Team to arrange for a free trial of POINT: [email protected] 5

6 Contacts Contact the POINT team to arrange for a free trial of POINT. Americas [email protected] Tel: Ext. 2 Europe [email protected] Tel: +44 (0) Asia [email protected] Tel: Japan Tel: Asia Ex Japan Disclaimer This information has been prepared by the Corporate & Investment Banking Division of Barclays and is issued by Barclays Bank PLC and/or one or more of its affiliates (collectively and each individually, Barclays ). All information is provided as is and Barclays makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to any data included herein. Barclays makes no representations that the information contained herein or any of the analytic tools or reports referenced herein are accurate, reliable, complete, or appropriate for use by all investors in all locations. Because of the possibility of human and mechanical errors as well as other factors, Barclays is not responsible for any errors or omissions in the information contained herein or any of the analytic tools or reports referenced herein. Barclays will not treat unauthorized recipients of this information herein as its clients. Without limiting any of the foregoing and to the extent permitted by law, in no event shall Barclays nor any of their respective officers, directors, partners, or employees have any liability for (a) any special, punitive, indirect, or consequential damages; or (b) any lost profits, lost revenue, loss of anticipated savings or loss of opportunity or other financial loss, even if notified of the possibility of such damages, arising from any use of, or reliance on, this information, analytic tools or reports referenced herein. Barclays is not utilizing this document to provide investment advice to you or any other party. 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Additional information will be furnished upon request. CSNY v10 October 2012