By Angela McDaniels
Tacoma, Wash., April 4 - Barclays Bank plc priced $5 million of 0% notes due April 12, 2017 linked to the Nikkei 225 index and the Japanese yen, according to a 424B2 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 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.
JPMorgan Chase Bank, N.A. and JPMorgan Securities LLC are the agents.
Issuer: | Barclays Bank plc
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Issue: | Notes
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Underlying components: | Nikkei 225 index and Japanese yen
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Amount: | $5 million
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Maturity: | April 12, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus average of index return multiplied by currency return on each of Oct. 7, 2016, Jan. 9, 2017 and April 7, 2017, subject to floor of par and cap of 152% of par
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Initial levels: | 9,755.1 for index; 0.012083 for yen
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Pricing date: | March 31
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Settlement date: | April 7
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Agents: | JPMorgan Chase Bank, N.A. and JPMorgan Securities LLC
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Fees: | 3%
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Cusip: | 06738KGD7
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