Barclays Bank Delaware plans CDs due 2021 on Shiller Barclays CAPE

By Marisa Wong

Madison, Wis., Nov. 7 – Barclays Bank Delaware plans to price certificates of deposit due Nov. 26, 2021 linked to the Shiller Barclays CAPE US Sector Risk Controlled 7% USD Excess Return index, according to a term sheet.

If the index closes at or above the initial level on an annual contingent coupon determination date, the CDs will pay a contingent coupon of 1%. Otherwise, no coupon will be paid for that year.

The index incorporates the principles of long-term investing distilled by Robert Shiller and expressed through the Cyclically Adjusted Price Earnings, or CAPE, ratio while aiming to maintain a target volatility of 7%. The index relies on exposure to its underlying index, the Shiller Barclays CAPE US Sector ER USD index, which aims to gain exposure to the top four out of 10 U.S. sectors, with each sector represented in the index by a sector exchange-traded fund, that are relatively undervalued as defined by the relative CAPE indicator and possess relatively strong price momentum over the prior 12 months.

The payout at maturity will be par plus the greater of the contingent coupon and the index return.

Barclays is the agent. Incapital LLC is the distributor.

The CDs will price Nov. 21 and settle Nov. 26.

The Cusip number is 067402U2.

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