Barclays to price five-year notes linked to Trailblazer Sectors 5

By Angela McDaniels

Tacoma, Wash., Sept. 6 – Barclays Bank plc plans to price 0% notes due Sept. 30, 2021 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 200% to 210% of the index return. The exact upside leverage factor will be set at pricing. 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.

The notes will price Sept. 27.

The Cusip number is 06741VAY8.

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