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

By Angela McDaniels

Seattle, Sept. 6 - Lehman Brothers Holdings Inc. plans to price 0% return enhanced notes with contingent protection due 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 increase in the fund's share price, subject to a maximum return that is expected to be 24% to 28% and will be determined at pricing. Investors will receive par if the basket declines by 20% or less and will be fully exposed to the index decline if it falls by more than 20%.

Lehman Brothers Inc. will be the underwriter.

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