Lehman Brothers plans 0% buffered return enhanced notes linked to gold

By Laura Lutz

Des Moines, Jan. 14 - Lehman Brothers Holdings Inc. plans to price one-year 0% buffered return enhanced notes without principal protection linked to the price of gold, according to an FWP filing with the Securities and Exchange Commission.

If gold increases by up to 10%, the payout at maturity will be par.

If gold increases by more than 10%, the payout will be par minus 110% of the amount by which the gold return exceeds 10%. The payout will not be negative.

If the final price of gold is less than the initial price, the payout at maturity will be par minus 120% of the amount by which the price declines.

The pricing and settlement dates were not disclosed.

Lehman Brothers Inc. is the underwriter.

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