Lehman to price return enhanced notes linked to three indexes

By Angela McDaniels

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

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

The payout at maturity will be par plus any basket gain multiplied by a participation rate that is expected to be 115% to 125% and will be determined at pricing. Investors will receive par if the basket falls by 20% or less and will lose 1% for each 1% decline beyond 20%.

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

Lehman Brothers Inc. will be the underwriter.

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