Barclays to price CDs linked to Shiller Barclays CAPE US Sector index

By Angela McDaniels

Tacoma, Wash., Aug. 6 – Barclays Bank Delaware plans to price 0% certificates of deposit due Aug. 30, 2021 linked to the Shiller Barclays CAPE US Sector Risk Controlled 7% USD Excess Return index, according to a term sheet.

If the index return is positive, the payout at maturity will be par plus 125% to 130% of the index return. If the index return is zero or negative, the payout will be par. The exact participation rate will be set at pricing.

The index incorporates the principles of long-term investing distilled by Robert Shiller and expressed through the Cyclically Adjusted Price Earnings, or CAPE, ratio while aiming to maintain a target volatility of 7%. The index relies on exposure to its underlying index, the Shiller Barclays CAPE US Sector ER USD index, which aims to gain exposure to the top four out of 10 U.S. sectors, with each sector represented in the index by a sector exchange-traded fund, that are relatively undervalued as defined by the relative CAPE indicator and possess relatively strong price momentum over the prior 12 months.

Barclays is the agent. Incapital LLC is distributor. The fees are expected to be 4.5%.

The CDs will price Aug. 25 and settle Aug. 29.

The Cusip number is 06740AX79.

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