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

By E. Janene Geiss

Philadelphia, Nov. 1 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due Nov. 30, 2011 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

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

The notes are expected to price Nov. 27 and settle Nov. 30.

The payout at maturity will be par plus any increase in the basket times a participation rate that will be determined at pricing and expected to be 115% to 125%.

If the basket declines by 20% or less, the payout will be par. Investors will lose 1% for every 1% that the absolute value of the basket declines beyond 20%.

Lehman Brothers Inc. will be the underwriter.

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