Lehman to price buffered return enhanced notes linked to Financial Select Sector SPDR Fund

By Angela McDaniels

Tacoma, Wash., Dec. 6 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due June 30, 2010 linked to the Financial Select Sector SPDR Fund, according to an FWP filing with the Securities and Exchange Commission.

The fund seeks to closely match the returns and characteristics of the Financial Select Sector index, which includes financial service firms with business lines ranging from investment management to commercial and investment banking.

The payout at maturity will be par plus double any increase in the fund's share price, subject to a maximum return that is expected to be 38% to 46% and will be determined at pricing. Investors will receive par if the share price declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

The notes will price on Dec. 21 and settle on Dec. 31.

Lehman Brothers Inc. will be the underwriter.

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