Barclays plans capped leveraged return notes on S&P 500 via Merrill

By E. Janene Geiss

Philadelphia, Oct. 28 - Barclays Bank plc plans to price zero-coupon capped leveraged index return notes due November 2012 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

Merrill Lynch, Pierce, Fenner & Smith Inc. is the agent.

The payout at maturity will be par plus double any index gain, with the return capped at between 16% and 20%. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will lose 1% for each 1% decline beyond 10%.

The notes are expected to price in November and settle in December.

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