Lehman to price semiannual review notes linked to Financial Select SPDR fund

By Angela McDaniels

Tacoma, Wash., April 21 - Lehman Brothers Holdings Inc. plans to price 0% buffered semiannual review notes due May 8, 2009 linked to shares of 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 fund's share price is greater than or equal to the initial share price on either of two semiannual review dates.

If the notes are called on Nov. 3, 2008, the redemption amount will be par plus a call premium of 10% to 12%. If the notes are called on May 5, 2009, the redemption amount will be par plus the share price return or a call premium of 20% to 24%, whichever is greater. The exact call premiums will be set at pricing.

If the notes are not called, the payout at maturity will be par unless the 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 on May 2 and settle on May 7.

Lehman Brothers Inc. is the underwriter.

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