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Lehman Brothers plans buffered return enhanced notes linked to S&P 500
By Laura Lutz
Des Moines, May 1 - Lehman Brothers Holdings Inc. plans to price buffered return enhanced notes due May 21, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the final index level is at least the initial level, the payout at maturity will be par plus 200% of any gain on the index, capped at a maximum payout that will be between 130% and 134% of par. The exact maximum will be set at pricing.
If the index declines by up to 10%, the payout will be par. Investors will lose 1.11111% for each 1% that the index declines beyond 10%.
The notes are expected to price on May 16 and settle on May 21.
Lehman Brothers Inc. is the underwriter.
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