Barclays plans market-linked step-up notes tied to S&P 500 via Merrill

By Susanna Moon

Chicago, Aug. 31 - Barclays Bank plc plans to price 0% market-linked step-up notes due September 2014 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index finishes at or above the step-up value - 118% to 124% of the initial level - the payout at maturity will be par of $10.00 plus any gain.

If the index gains but finishes below the step-up value, the payout will be par of $10.00 plus $1.80 to $2.40 per note.

Investors will be exposed to any losses.

Bank of America Merrill Lynch is the underwriter.

The notes will price in September and settle in October.

The exact deal terms will be set at pricing.

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