Lehman to price 0% buffered return enhanced notes linked to Financial Select Sector SPDR Fund

By E. Janene Geiss

Philadelphia, Sept. 6 - Lehman Brothers Holdings Inc. plans to price 0% one-year buffered return enhanced notes due in September 2008 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 notes are expected to price and settle in September.

The payout at maturity will be par plus double any basket gain with a maximum return that will be determined at pricing and expected to be between 19% and 21%. Investors will receive par if the basket declines by 10% or less and will lose 1.11111% for each 1% decline beyond 10%.

Lehman Brothers Inc. will be the underwriter.

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