Barclays Capital will launch its first US note linked to the performance of its proprietary Barclays TrendStar Strategy this week. The five-year principal-protected note pays 200% of the rise of the underlying over the term.
Philippe El-Asmar, head of solution sales, Americas, said the release reflects Barclays Capital’s ongoing initiative, “...to provide additional investment solutions for uncorrelated asset classes.”
Barclays Capital’s TrendStar strategy involves seeking out excess returns by investing algorithmically in curve-steepening and curve-flattening positions via three indices: the Barclays Investable Swap Index USD 2yr unhedged, which tracks the performance of the two-year US dollar swap rate; the Barclays Investable Swap Index 10yr unhedged, which tracks the ten-year US dollar swap rate; and the Barclays USD overnight Cash Index which tracks the US Federal Funds dollar swap rate and acts as a reference for the strategy.
Under the strategy, the bank will take a long position in either the two-year or ten-year index, with a short position being taken in the alternate index, depending on the predicted steepening or flattening of the yield curve.
