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Lehman plans 0% notes inversely linked to iShare Dow Jones U.S. Real Estate Index Fund
By Angela McDaniels
Seattle, Feb. 2 - Lehman Brothers Holdings Inc. plans to price an offering of 0% capped inverse return leverage notes due Feb. 9, 2009 linked to the iShare Dow Jones U.S. Real Estate Index Fund, according to an FWP filing with the Securities and Exchange Commission.
The notes are expected to price on Feb. 6 and settle on Feb. 9.
The notes will be automatically called if the index fund shares advance beyond the knock-out level - 200% of the initial share price - during the life of the notes, and investors will receive the present value of par minus an amount equal to par multiplied by the share return on the day following the knock-out event minus 15%.
If the notes are not called, the payout at maturity will be par plus the absolute value of any decline in the share price. The return will be multiplied by the leverage factor - which is expected to be at least 200% and will be determined at pricing - and will be subject to a maximum return of 40%.
If the final share price shows an increase of 15% or less, the payout will be par. Investors will lose 1% for each 1% the share price advances beyond 15%.
Lehman Brothers Inc. will be the underwriter.
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