Barclays plans to price six-year 0% notes tied to Nikkei 225 index, yen

By Marisa Wong

Madison, Wis., March 30 - Barclays Bank plc plans to price 0% notes due April 12, 2017 linked to the Nikkei 225 index and the Japanese yen, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus $1,000 times the averaged return, subject to a maximum return of 52%. Investors will receive at least par.

The averaged return is equal to (a) the arithmetic average of the product of (i) the index return times (ii) the currency return on each of the three averaging dates, minus (b) one. The averaging dates are expected to be Oct. 7, 2016, Jan. 9, 2017 and April 7, 2017.

The index return is equal to the final index level divided by the initial level, and the currency return is equal to the final spot rate divided by the initial spot rate. The spot rate is equal to the number of dollars per yen.

The notes (Cusip: 06738KGD7) are expected to price March 31 and settle April 7.

JPMorgan Chase Bank, N.A. and JPMorgan Securities LLC are the agents, and Barclays Capital Inc. is the co-agent.

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