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Lehman plans buffered return enhanced notes linked to S&P 500
By Susanna Moon
Chicago, Dec. 4 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due June 18, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the index finishes at or above the initial level, the payout at maturity will be par plus double any index gain, capped at a return of between 23% and 26%. The exact maximum return will be set at pricing.
If the index falls by up to 10%, the payout will be par. Investors will lose 1.11111% for each 1% decline in the index beyond 10%.
The notes are expected to price on Dec. 7 and settle on Dec. 18.
Lehman Brothers Inc. is the underwriter.
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