Lehman to price 0% buffered return enhanced notes linked to S&P 500

By Jennifer Chiou

New York, April 10 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due April 30, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will price on April 25 and settle on April 30.

The payout at maturity will be par plus double any positive return on the index, up to a maximum return that will be between 19.5% and 20.5% and will be set at pricing. Investors will receive par if the index declines by up to 10% and will lose 1.1111% for each 1% decline beyond 10%.

Lehman Brothers Inc. will be the underwriter.

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