From The TimeSplitters Wiki

Heist Glitch
Requirements	- TimeSplitters - Challenge Mode unlocked - enough Challenges unlocked to access Heist
Finder	Koopa64

Heist

I this particular challenge, there is a horrible glitch, if you complete this challenge without loosing a single bag, you will not unlock the Veiled SWAT character, ever. Actually, the challenge itself is so difficult that loosing no bags is virtually impossible!