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

By Laura Lutz

Des Moines, Jan. 7 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due Feb. 11, 2010 linked to shares of the Financial Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

If the final share price is above the initial price, the payout will be par plus 300% of any percentage increase in the share price, capped at a maximum payout that is expected to be between 36% and 45% of par. The exact cap will be set at pricing.

If the shares decline by up to 10%, the payout will be par. Investors will lose 1% for each 1% that the shares decline beyond 10%.

The notes are expected to price on Feb. 4 and settle on Feb. 11.

Lehman Brothers Inc. is the agent.

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