Lehman to price 0% buffered return enhanced notes linked to Asian index basket

By E. Janene Geiss

Philadelphia, Oct. 15 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due Oct. 31, 2010 linked to an Asian index basket, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (25%) of the FTSE/Xinhua China 25, Korea Stock Price 200 Index, MSCI Singapore Free Index and the MSCI Taiwan Index.

The payout at maturity will be par plus a participation rate that will be determined at pricing and expected to be 119% to 124%. If the basket declines by 20% or less, the payout will be par. Investors will lose 1.11111% for every 1% the basket declines beyond a 20% decline.

The notes are expected to price Oct. 26 and settle Oct. 31.

Lehman Brothers Inc. will be the underwriter.

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