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

By Susanna Moon

Chicago, Nov. 2 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due May 31, 2011 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 30% weight, the Nikkei 225 index with a 30% weight, the Dow Jones Euro Stoxx 50 index with a 30% weight and the Hang Seng index with a 10% weight.

The payout at maturity will be par plus a participation rate of between 115% and 120%, with the exact rate to be set at pricing.

If the basket falls by up to 20%, the payout will be par. Beyond a 20% drop, investors will be fully exposed to any decline.

The notes are expected to price on Nov. 21 and settle on Nov. 29.

Lehman Brothers Inc. is the underwriter.

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