News Releases

London (14 October 2008) – Barclays Capital, the investment banking division of Barclays Bank PLC, today announces the launch of its Vertex Index Family, using a strategy that offers optimised exposure to implied equity volatility through liquid market instruments.

The Vertex strategy is designed to navigate through the turbulent market environment by maximising opportunities in equity volatility.  The strategy invests in forward starting variance by combining a long and short position in variance swaps of appropriate maturities.  According to a quantitative signal, it dynamically gears up the exposure in high volatility regimes, when the investor needs it most, leveraging the position when it is most likely to generate high returns.

Philipp Orgler, Director, Equity Derivatives Structuring at Barclays Capital, commented, “The Vertex strategy is an efficient way of building up a volatility exposure, using a transparent rules-based mechanism potentially offering additional insurance in times of market distress. ”

Volatility is widely recognised as an asset class with derivatives contracts, OTC or exchange traded, that invest directly or indirectly in it.  As a diversification tool it has proved to be very efficient in allowing risk transfers between investors.  Also, being negatively correlated with the underlying equities makes it a good complement to stocks in a portfolio optimisation framework.

“For equity investors, volatility can be an efficient asset to hold,” added Waqas Samad, Head of Index Products at Barclays Capital.  “It can provide returns in periods when the market comes under stress and equities perform poorly.  Thus, volatility can be viewed as an efficient insurance that could help protect against poor returns on underlying investments in equities.”

Barclays Capital will provide data, analytics and support for the index via web-based and other e-commerce protocols. The indices are available on Barclays Capital’s index products website (http://www.barcap.com/indices/) and a subset of the index family via Bloomberg BCIX <go>.

For further information contact:

Schuyler Clemente
+44 (0)20 777 34175
schuyler.clemente@barclayscapital.com

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About Barclays Capital
Barclays Capital is the investment banking division of Barclays Bank PLC. With a distinctive business model, Barclays Capital provides large corporate, government and institutional clients with a comprehensive set of solutions to their strategic advisory, financing and risk management needs.  Barclays Capital has offices around the world, employs over 20,000 people and has the global reach, advisory services and distribution power to meet the needs of issuers and investors worldwide.

For further information about Barclays Capital, please visit our website www.barclayscapital.com.
Barclays Capital - the investment banking division of Barclays Bank PLC. Registered in England 1026167. Registered office 1 Churchill Place, London, E14 5HP. Authorised and regulated by the Financial Services Authority and a member of the London Stock Exchange.