Productos Estructurados como Herramientas de Inversión

Presentación del tema: "Productos Estructurados como Herramientas de Inversión"— Transcripción de la presentación:

1 Productos Estructurados como Herramientas de Inversión
4/13/2017 9:08 PM Productos Estructurados como Herramientas de Inversión Natalia Sandoval BARCLAYS CAPITAL Investor Solutions April 2011 UNICAMENTE CON FINES INFORMATIVOS

2 Agenda Introducción a Inversiones Estructuradas
4/13/2017 9:08 PM Agenda Introducción a Inversiones Estructuradas Tipos de activos Resumen de Mercado del Año 2008 hasta el 2010 YTD Back to Basics y Productos Estructurados en Latinoamérica Ideas con Perfiles de Pago Tradicionales Brent Oil SuperTrack GMODELO SuperTrack Mexican ADRs Autocall Tendencias e Innovación S&P 500® Dynamic VEQTORTM Mid-Term Index: Barclays Capital ASTRO US Variable Index Conclusiones

3 Introducción a Inversiones Estructuradas
4/13/2017 9:08 PM Introducción a Inversiones Estructuradas

4 Tipos de Productos Estructurados
4/13/2017 9:08 PM Tipos de Productos Estructurados Single Stocks/Baskets of Stocks US and Global Indices ETFs Equity Single Commodities/Baskets of Commodities Commodity Indices Oil, Gold, Coal, etc. Commodity Foreign Exchange Single Currencies/Baskets of Currencies BRIC, Latin America, Emerging Markets currencies Toda Clase de Activos Inflation CPI-Linked Notes Fixed Income Steepeners/Accrual Notes Treasury futures-linked Notes/LIBOR-linked Notes Real Estate Property Derivatives/ REIT-linked/ PICs (Property Index Certificates) Hybrid Combinations of Asset Classes in one instrument

5 Resumen del Mercado 2008 -2011 YTD
4/13/2017 9:08 PM Resumen del Mercado YTD

6 Resumen del Mercado: 2008 - 2011 YTD
4/13/2017 9:08 PM Resumen del Mercado: YTD En el 2010, los volúmenes fueron de $ 51Bn * mostrando una tendencia saludable de emisión tras la recuperación del mercado 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” * Source: Structured Retail Products, October 2010

7 4/13/2017 9:08 PM Resumen del Mercado La evolución de las inversiones estructuradas en América Latina 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. Activos Subyacentes 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) Producto 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 Visión Global

8 Inversiones Estructuradas: Herramientas de Asignación de Cartera
4/13/2017 9:08 PM Inversiones Estructuradas: Herramientas de Asignación de Cartera

9 4/13/2017 9:08 PM For Educational Purposes Only Brent Super Track 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:
4/13/2017 9:08 PM For Educational Purposes Only Brent Super Track Pago a Vencimiento 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 . Retorno Máximo Participación A la alza rendimiento Exposición Performance A la baja subyacente nota

11 North Asian Equities Super Track
4/13/2017 9:08 PM For Educational Purposes Only 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
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 Mexicanas GMODELO Supertrack
4/13/2017 9:08 PM For Educational Purposes Only Acciones Locales Mexicanas GMODELO Supertrack Moneda Moneda USD USD Plazo Plazo 6 1 Año Meses Subyacente Subyacente GMODELOB Brent ( OIL - WTI - NYMEX ) Participaci Participación ó n 1 1 5 5 .00% .00% Cap Cap 1 1 16 17 % cap (2 % cap (24% retorno Max.) 5. 50 % retorno Max.) Protección Protecci ó n 0% 0% Pago a Vencimiento 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 Participación A la alza rendimiento Exposición Performance A la baja subyacente nota

14 ADRs Mexicanos Coupon Barrier Autocall (CBAN)
4/13/2017 9:08 PM For Educational Purposes Only ADRs Mexicanos Coupon Barrier Autocall (CBAN) Traditional Structured Products Offering Coupon Barrier Autocall sobre ADRs Mexicanos Ejemplo Hipotético Diagrama de Pago Hipotético Plazo 1 año Subyacente CX,TV y AMX Cupón Condicional (t) = 1,..,4 14.50% p.a Barrera del Cupón 70% Barrera protección 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. Trimestres 1 - 3 Trimestre 4 *SMR > [70]% del nivel inicial SMR> [70]% del nivel inicial si no si no Cupón Condicional No Cupón Cupón Condicional No Cupón SMR> [100]% del nivel inicial si no 100% del Principal No redención anticipada SMR > [70]% del nivel inicial si no 100% del Principal El Principal reducido 1-por-1 el rendimiento negativo del SMR *SMR= subyacente con menor rendimiento These examples are for illustrative purposes only and do not constitute a guaranteed return or performance. Past performance is not indicative of future results.

15 Tendencias e Innovación
4/13/2017 9:08 PM Tendencias e Innovación S&P 500® Dynamic VEQTORTM Mid-Term Index Dynamic VEQTOR Strategy on iShares MSCI Mexico Investable Index Fund Barclays Capital ASTRO US Variable Index

16 4/13/2017 9:08 PM For Education Purposes Only S&P 500® Dynamic VEQTORTM Mid-Term Index Invierte en el Mercado Accionario con un Hedge de Volatilidad Implícita S&P 500® Dynamic VEQTORTM Mid-Term Index 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 Resumen Como Funciona ? 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 entorno 1-mes volatilidad realizada del S&P 500® Volatilidad Implícita Señal de Tendencia 5-Días y 20-días promedios móviles del VIX® Index Realized Volatility Environment Target Equity / Volatility Allocation Implied Volatility Downtrend No Implied Volatility Trend Implied Volatility Uptrend < 10% 97.5% / 2.5% 90% / 10% 10% to 20% 85% / 15% 20% to 35% 75% / 25% 35% to 45% 60% / 40% > 45% Stop Loss EN algunas circunstancia la totalidad de la asignación puede cambiar de equity y volatilidad a cash

17 Rendimiento Hipotético Histórico
4/13/2017 9:08 PM For Educational Purposes Only 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 Index S&P 500® Dynamic VEQTORTM Mid-Term 85%/15% Equity/Volatility Hypothetical 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 ( ) 11.47% 0.88% -2.85% Annualized Return 5Y n/a Annualized 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% ___________________________ 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 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.

18 Rendimientos Mensuales
4/13/2017 9:08 PM For Educational Purposes Only Rendimientos Mensuales S&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% 2.83% 1.76% 1.50% 16.88% 2007 1.13% -1.92% 1.89% 4.22% 3.42% -1.19% -0.63% 2.66% 1.10% -1.34% -0.46% 12.74% 2008 -4.15% -2.34% 3.41% 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 5.53% 1.94% -2.89% -2.39% 4.07% 6.96% 2.22% 4.55% 15.36% 2011 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 -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% VEQTOR with Mid-Term Volatility vs. SPTR Outperformance/Underperformance Annual 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% ___________________________ Source: Bloomberg, Standard & Poor’s, Barclays Capital. Data: December 2005 – January 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 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.

19 Distribución del Rendimiento en el Portafolio (1-Year Rolling Results)
4/13/2017 9:08 PM For Educational Purposes Only Distribución del Rendimiento en el Portafolio (1-Year Rolling Results) S&P 500® Dynamic VEQTORTM Mid-Term Index 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 500 (TR) S&P 500® VEQTORTM Mid-Term Index (TR) VEQTOR Mid-Term Ave 12.5% 100% S&P 500 Total Return Average 2.2% 85% Equity & 15% Volatility Ave 5.1% ___________________________ 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 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.

20 Dynamic VEQTOR Strategy on iShares MSCI Mexico Investable Index Fund
4/13/2017 9:08 PM For Educational Purposes Only 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. Barclays Capital ASTRO US Variable Index ___________________________ 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 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.

21 Rendimiento For Educational Purposes Only
4/13/2017 9:08 PM For Educational Purposes Only Rendimiento Barclays Capital ASTRO US Variable Index ___________________________ 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 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.

22 Barclays Capital ASTRO US Variable Index
4/13/2017 9:08 PM For Educational Purposes Only Barclays Capital ASTRO US Variable Index Barclays Capital ASTRO US Variable Index Objetivo de Inversión El 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”. Rendimiento Histórico Hipotetico1 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 1.00 Bloomberg Barclays Capital ASTRO US Variable Excess Return Index Ticker BXIIAVUE Index (Post-1% Management Fee) BXIIAVEP Index (Pre-1% Management Fee) ___________________________ 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 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.

23 Midiendo la Reversión a la Media en los Mercados Accionarios
4/13/2017 9:08 PM For Educational Purposes Only Midiendo la Reversión a la Media en los Mercados Accionarios Barclays Capital ASTRO US Variable Index 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. Daily Volatility > Weekly Volatility Daily Volatility < Weekly Volatility Weekly Return = 0 Weekly Return Positive (or Negative) 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.

24 Reversión a la Media Histórica en los Mercados Accionarios
4/13/2017 9:08 PM For Educational Purposes Only Reversión a la Media Histórica en los Mercados Accionarios Barclays Capital ASTRO US Variable Index 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. 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 Positive spread during mean-reverting markets Mean-Reversion: positive daily vs. weekly volatility spreads Negative spread during trending markets 1987 Crash Credit Crisis ___________________________ Source: Bloomberg and Barclays Capital. Data for the period of January February 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. Source: Bloomberg and Barclays Capital. Data for the period of January 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.

25 Protection con reversion a la media
4/13/2017 9:08 PM For Educational Purposes Only Protection con reversion a la media Barclays Capital ASTRO US Variable Index 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” Historical Mean Reversion vs. Realized Volatility in S&P 500® Index1 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 ___________________________ Source: Bloomberg and Barclays Capital. Data for the period of January February 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.

26 ASTRO Index: Mecanismo
4/13/2017 9:08 PM For Educational Purposes Only ASTRO Index: Mecanismo Barclays Capital ASTRO US Variable Index 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. COMO FUNCIONA Replicating Rolling One-Week Variance Spreads One-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 Delta Delta obtained from replicating rolling five variance spreads, 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 Delta The value of daily Delta and the amount of Delta rebalanced every day is capped and floored at +/-150% to reduce the concentration of risk.

27 ASTRO Index: Hypothetical Historical Returns
4/13/2017 9:08 PM For Educational Purposes Only ASTRO Index: Hypothetical Historical Returns Barclays Capital ASTRO US Variable Index 1-Year Rolling Returns1 Annual Returns1 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% Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ASTRO ER SPTR 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% 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% 0.90% 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% -0.68% 1.66% 0.36% -0.49% -0.07% 0.29% 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% 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% 26.46% 2010 -0.57% 1.52% -1.05% 1.57% 1.83% -0.33% -1.28% 0.80% 2.36% 15.06% 2011 0.69% 0.04% 0.74% 5.88% ___________________________ Source: Bloomberg, Barclays Capital. Data for January 2001 – February 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 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.

28 ASTRO Index as an Overlay to an Equity Portfolio
4/13/2017 9:08 PM For Educational Purposes Only ASTRO Index as an Overlay to an Equity Portfolio Barclays Capital ASTRO US Variable Index 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. January 2001 – February 20111 Portfolio SPTR 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% ___________________________ Source: Bloomberg, Barclays Capital. Data for the period of January February 2011 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 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.

29 4/13/2017 9:08 PM 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.

30 Certain Risk Factors Market Risk:
4/13/2017 9:08 PM 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.

31 Certain Risk Factors (cont’d)
4/13/2017 9:08 PM 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.

32 Disclaimer 4/13/2017 9:08 PM This 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 © 2011, Barclays Bank PLC (All rights reserved).