Lehman Brothers to price 0% semi-annual review notes linked to Financial Select Sector SPDR Fund

By E. Janene Geiss

Philadelphia, April 11 - Lehman Brothers Holdings Inc. plans to price 0% buffered semi-annual review notes expected to mature April 20, 2009 linked to the Financial Select Sector SPDR Fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at increasing premiums if the index fund level is at or above the call price on either of two semi-annual review dates. The call price is 95% of the fund's initial price.

The redemption amount will be par plus a premium of 9.5% to 11.5% if the notes are called on the first review date, set for Oct. 14, and the greater of par plus a premium of 19% to 23% and par plus the return on the fund if called on the second and final review date, set for April 15, 2009. The exact redemption amounts and review dates will be set at pricing.

If the notes are not called, the payout at maturity will be par unless the index fund falls by more than 15%, in which case investors will lose 1% for every 1% decline beyond 15%.

The notes are expected to price April 14 and settle April 17.

Lehman Brothers Inc. will be the agent.

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