Barclays to price CDs due 2024 linked to Trailblazer Sectors 5 index

By Angela McDaniels

Tacoma, Wash., Oct. 10 – Barclays Bank Delaware plans to price 0% certificates of deposit due April 25, 2024 linked to the Barclays Trailblazer Sectors 5 index, according to a term sheet.

If the index return is greater than zero, the payout at maturity will be par plus 150% of the index return. If the index return is less than or equal to zero, the payout will be par.

The index tracks a dynamic notional portfolio selected from a universe of 13 exchange-traded funds that provide exposure to U.S. equity sectors or fixed-income assets while targeting a portfolio volatility of 5%. On a daily basis, a notional financing cost equal to Libor is deducted from each index component and an index fee of 0.85% per year is deducted from the index.

The portfolio tracked by the index is determined by in part drawing on certain concepts from the “modern portfolio theory” approach to asset allocation. Generally, modern portfolio theory holds that an optimal investment portfolio is one that maximizes expected return for any given level of risk, where risk is measured by the expected volatility of the portfolio.

Barclays is the agent. Incapital LLC is the distributor.

The CDs will price Oct. 21.

The Cusip number is 06740FFW3.

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