Lehman to price return enhanced notes linked to SPDR S&P Homebuilders ETF

By Susanna Moon

Chicago, Oct. 22 - Lehman Brothers Holdings Inc. plans to price an issue of 0% return enhanced notes with contingent protection due October 2010 linked to the SPDR S&P Homebuilders exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The underlying index is the S&P Homebuilders Select Industry index.

If the final share price of the ETF is at least the initial share price, the payout at maturity will be par plus any positive return times a participation rate of between 124% and 134%, with the exact rate to be set at pricing.

If the final share price is below the initial share price, the payout will be par if the share price remains above the trigger price - 70% of the initial share price - throughout the life of the notes.

If the share price drops below the trigger price during the life of the notes and finishes below the initial share price, investors will be fully exposed to the share price decline.

The notes are expected to price and settle in October.

Lehman Brothers Inc. is the underwriter.

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