By Angela McDaniels
Tacoma, Wash., Sept. 29 – Barclays Bank plc priced $649,000 of 0% notes due Sept. 30, 2024 linked to the Barclays Trailblazer Sectors 5 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than the initial index level, the payout at maturity will be par plus three times the index return. If the final index level is less than or equal to the initial index level, 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.
| Issuer: | Barclays Bank plc
|
| Issue: | Notes
|
| Underlying index: | Barclays Trailblazer Sectors 5 index
|
| Amount: | $649,000
|
| Maturity: | Sept. 30, 2024
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than initial index level, par plus three times index return; if final index level is less than or equal to initial index level, par
|
| Initial index level: | 189.7424
|
| Pricing date: | Sept. 26
|
| Settlement date: | Sept. 29
|
| Agent: | Barclays
|
| Fees: | 4.125%
|
| Cusip: | 06744C3B5
|
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