Barclays plans 0% capped leveraged notes on Russell 2000 via Merrill

By Susanna Moon

Chicago, April 28 - Barclays Bank plc plans to price zero-coupon capped leveraged index return notes due May 2013 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus double any index gain, subject to a maximum return of 19% to 23%. 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 May and settle in June.

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

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