Lehman Brothers to price principal-protected notes linked to basket of indexes

By E. Janene Geiss

Philadelphia, Oct. 11 - Lehman Brothers Holdings Inc. plans to price an issue of zero-coupon 100% principal-protected notes due Oct. 25, 2011 linked a basket of equity indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Topix Index with a 28% weight, Dow Jones Euro Stoxx 50 with a 25% weight, FTSE 100 with a 25% weight, S&P/ASX 200 with a 10% weight, Swiss Market Index with a 6% weight and the FTSE/Xinhua China 25 with a 6% weight.

The notes are expected to price Oct. 22 and settle Oct. 25.

The payout at maturity will be par plus any positive return on the basket times a participation rate that will be between 94% and 100%. The exact participation rate will be set at pricing.

Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

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