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Lehman to price return enhanced notes linked to Financial Select Sector SPDR fund
By E. Janene Geiss
Philadelphia, Jan. 25 - Lehman Brothers Holdings Inc. plans to price three-year 0% return enhanced notes with contingent protection linked to the Financial Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 125% to 135% of any gain on the index. The exact participation rate will be determined at pricing.
Investors will receive par if the index declines by less than 20% to 30% at any time during the life of the notes. The exact trigger amount will be determined at pricing. Investors will be fully exposed to any decline if the trigger is hit.
Lehman Brothers Inc. will be the underwriter.
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