Lehman Brothers to price principal protection notes linked to three indexes

By Jennifer Chiou

New York, Oct. 10 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection notes due October 2011 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the S&P 500, Dow Jones Euro Stoxx 50 and Nikkei 225 indexes.

At maturity, investors will receive par plus any positive return on the basket multiplied by a participation rate that will be determined at pricing and is expected to be between 80% and 85%.

The notes will price and settle in October.

Lehman Brothers Inc. is the underwriter.

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