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Lehman plans absolute return barrier notes linked to S&P 500
By E. Janene Geiss
Philadelphia, Feb. 6 - Lehman Brothers Holdings Inc. plans to price an issue of zero-coupon 100% principal protection absolute return barrier notes due March 1, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the index ever closes above the upper index barrier or below the lower index barrier, the payout at maturity will be par of $10. Otherwise, the payout will be par plus the absolute value of the index return.
The upper and lower index barriers are expected to be 21% to 23% above and below the initial index level, respectively. The exact barrier levels will be determined at pricing.
The notes are expected to price on Feb. 26 and settle Feb. 29.
Lehman Brothers Inc. will be the underwriter.
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