Barclays plans another issue of CDs linked to Elkhorn DWA Tactical Tilt 5% Volatility Target

By Sheri Kasprzak

New York, April 11 – Barclays Bank Delaware is set to price another issue of zero-coupon certificates of deposit linked to the Elkhorn DWA Tactical Tilt 5% Volatility Target index, a relatively new product that is rapidly making waves in the industry.

These CDs are due April 28, 2023 and pay par plus 120% of the index return, subject to a minimum payout of par.

The index provides notional exposure on an excess-return basis to the Elkhorn Tactical Tilt index while targeting 5% volatility. The index also reflects on a daily basis the deduction of a notional financing cost equal to Libor and an index fee of 0.65% per year.

Index launched in August

The index, launched Aug. 31, 2015, tracks a dynamic notional portfolio selected from 25 components, including exchange-traded funds, indexes, currency exchange rates and cash, that represent the six asset classes included in the base index universe: U.S. equity, international equity, fixed income, currency, commodities and cash.

Barclays’ partnership with Dorsey, Wright & Associates LLC, the DWA in Elkhorn DWA, determines the components selected for the base index. Dorsey developed a methodology for choosing and rebalancing the base index, with at least 40% of the weight allocated to the fixed-income asset class and the remainder to two to five of the remaining asset classes.

For this particular offering, Barclays is the agent with Incapital LLC as the distributor.

The CDs are scheduled to price April 25 and settle April 28.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.