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Lehman to price 0% buffered return enhanced notes linked to index basket
By E. Janene Geiss
Philadelphia, Nov. 7 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due November 2011 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the Dow Jones Euro Stoxx 50 with a 50% weight, the Nikkei 225 with a 30% weight and the FTSE 100 with a 20% weight.
The payout at maturity will be par plus a participation rate that will be determined at pricing and expected to be 155% to 165%. If the basket declines by 7.5% or less, the payout will be par. Investors will lose 1% for every 1% the basket declines beyond a 7.5% decline.
The notes are expected to price and settle in November.
Lehman Brothers Inc. will be the underwriter.
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