Barclays plans CDs linked to Barclays Armour II Excess Return 5% index

By Toni Weeks

San Luis Obispo, Calif., Feb. 7 - Barclays Bank Delaware plans to price 0% certificates of deposit due Feb. 27, 2020 linked to the Barclays Armour II Excess Return 5% index, according to a term sheet.

If the index return is greater than zero, the payout at maturity will be par plus 125% to 135% of the index return. If the index return is negative or zero, the payout will be par. The exact participation rate will be set at pricing.

The index incorporates an Adaptive Risk-Managed Optimized retURn strategy - a multi-asset allocation strategy that provides dynamic exposure to multiple assets based on the performance trend in those assets while also aiming to maintain a target volatility of 5% to achieve returns for a given risk appetite. The strategy is applied to a set of assets from six different asset classes and subclasses: developed equities, emerging market equities, commodities, gold, bonds and cash.

Barclays is the agent. Incapital LLC is distributor. The fees are expected to be 4%.

The CDs will price Feb. 25 and settle Feb. 28.

The Cusip number is 06740AK57.

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