Barclays plans 0% capped leveraged notes on index basket via Merrill

By E. Janene Geiss

Philadelphia, Feb. 25 - Barclays Bank plc plans to price zero-coupon capped leveraged index return notes due April 2013 based on the performance of a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 45% weight, along with the MSCI EAFE index and MSCI Emerging Markets index, both with a 27.5% weight.

The payout at maturity will be par of $10 plus double any basket gain, subject to a maximum return of 14% to 18%. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will be exposed to any decline beyond 10%.

The notes are expected to price in March and settle in April.

Merrill Lynch, Pierce, Fenner & Smith Inc. and Barclays Capital are the agents.

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