Product Solution: Shiller Barclays CAPE® US Core Mid-Month TR Index Linked Principal Protected Note
Indicative Terms
|
Issuer |
Barclays |
|
Product Type |
Principal Protection |
|
Structure |
Outperformance PPN |
|
Tenor |
2 years |
|
Settlement Cycle |
T+14 calendar days |
|
Currency |
USD |
|
Long Underlying |
Shiller Barclays CAPE® US Core Mid-Month TR Index (BXIIMCST) |
|
Short Underlying |
S&P 500 Total Return Index (SPXT) |
|
Upper Strike |
115% |
|
Lower Strike |
100% |
|
Principal Protection |
100% at maturity |
|
Participation Rate |
166.60%* |
|
Maturity Payoff |
100% + PR x Max[0, Min(Upper Strike-Lower Strike, Outperformance)] |
|
Reoffer |
98.5% |
|
Issuer |
Barclays |
|
Product Type |
Principal Protection |
|
Structure |
Outperformance PPN with Minimum Return Features |
|
Tenor |
(i) 2 years; (ii) 3 years |
|
Settlement Cycle |
T+14 calendar days |
|
Currency |
USD |
|
Long Underlying |
Shiller Barclays CAPE® US Core Mid-Month TR Index (BXIIMCST) |
|
Short Underlying |
S&P 500 Total Return Index (SPXT) |
|
Upper Strike |
(i) 110%; (ii) 115% |
|
Lower Strike |
100% |
|
Principal Protection |
100% at maturity |
|
Participation Rate |
100% |
|
Minimum Coupon |
(i) 4.00%*; (ii) 6.50%* |
|
Maturity Payoff |
100% + Minimum Coupon + PR x Max[0, Min(Upper Strike-Lower Strike, Long Underlying Price Final/Initial – Short Underlying Price Final/Initial)] |
|
Reoffer |
(i) 98.5%; (ii) 98% |
Indicative only, subject to the confirmed level on the trade date
Introduction – “Shiller CAPE® US Sectors” Strategy
What is “Shiller CAPE® US Sectors” Strategy (BXIIMSNT)?
- A strategy with smart equity exposure by investing in undervalued US sectors, with the potential to outperform S&P500. The strategy is developed in partnership with Professor Robert Shiller. The index has been live since 2012.
- The strategy historically outperforms S&P500 (by ~5% p.a. over the past 5 years) through dynamically allocates to undervalued US sectors showing positive momentum.
* 97% chance of positive outperformance based on 2-year rolling historical backtest
*100% chance of positive outperformance based on 3-year rolling historical backtest
Past and/or simulated past performance are not reliable indicators of Future performance.
Source: Bloomberg, Barclays. Simulated period: Index Base Date is 18 Sep 2002, Index Live Date is 07 Dec 2017. See information on the performance data in the Index Performance Disclaimer at end for further information
- Shiller Outperformance exhibits negative to low positive correlation against Equities and Bonds. Over the past 10-year period, it has realized on average -2.0% correlation against Equities and on average 1.4% against Bonds (using a 252d rolling average correlation).
- In the selected period of economic turmoil illustrated below, Shiller provided additional diversification against Equities and Bonds.
- It is a simple methodology with the following steps:
- Select 5 most undervalued sectors from Shiller Barclays CAPE US Index Family based on Relative Cyclically-Adjusted-PE (CAPE®) ratios
- Remove 1 undervalued sector with the lowest 12-month price momentum to avoid potential value trap
- Equally allocates index exposure to the remaining 4 undervalued sectors and rebalance index allocation monthly
Chart – Index Performances
Past and/or simulated past performance are not reliable indicators of future performance.
Source: Barclays, Bloomberg. Simulated period: Index Base Date is Sep 2002, Index Live Date is Dec 2017
Key Risks
- The product is only principal protected if investors hold it until maturity date.
- The product is subject to market volatility and the issuer’s credit risk.
- In the worst-case scenario, investors may experience a total loss of capital in the event of issuer’s default.
*******************************************************