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Lehman to price bearish return enhanced notes linked to iShares Dow Jones real estate index
By E. Janene Geiss
Philadelphia, Aug. 7 ? Lehman Brothers Holdings Inc. plans to price bearish return enhanced notes due March 2, 2009 linked to the iShares Dow Jones U.S. Real Estate Index Fund, according to an FWP filing with the Securities and Exchange Commission.
If the share return is negative, the payout at maturity will be par plus 300% of the absolute value of the share return, with a maximum gain that will be determined at pricing and expected to be between 24% and 28%. Investors will receive par if the basket increases by 10% or less and will lose 1% for each 1% increase beyond 10%, up to a maximum loss of 90% of par.
The notes are expected to price Aug. 28 and settle Aug.31.
Lehman Brothers Inc. will be the underwriter.
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