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

By Marisa Wong

Madison, Wis., Aug. 2 - Barclays Bank plc plans to price 0% market-linked step-up notes due August 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index finishes above the step-up value -113% to 119% of the initial level - the payout at maturity will be par of $10 plus the index gain.

If the index finishes at or above the initial level but below the step-up value, the payout will be par of $10 plus the step-up payment of 13% to 19%. The exact step-up value will be set at pricing.

Investors will be exposed to any losses.

Bank of America Merrill Lynch is the underwriter.

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

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