Barclays to price capped leveraged index return notes linked to S&P 500 via Merrill Lynch

By E. Janene Geiss

Philadelphia, Aug. 28 - Barclays Bank plc plans to price zero-coupon capped leveraged index return notes due April 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Merrill Lynch, Pierce, Fenner & Smith Inc. and its affiliate First Republic Securities Co., LLC are the underwriters.

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 issuer has applied to list the securities on the NYSE Arca under the symbol "SVQ."

The notes are expected to price in September and settle in October.

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