Lehman to price principal at risk buffered return enhanced notes linked to Asian indexes

By Jennifer Chiou

New York, Nov. 5 - Lehman Brothers Holdings Inc. plans to price zero-coupon principal at risk buffered return enhanced notes due Nov. 30, 2010 linked to a basket of Asian indexes, according to an FWP filing with the Securities and Exchange Commission.

The underlying basket includes equal weights of the FTSE/Xinhua China 25, Kospi 200, MSCI Singapore Free and MSCI Taiwan indexes.

Investors will receive par plus 115% to 125% of the basket return. Investors will receive par for losses up to 10% and will share in losses beyond 10% at a rate of 1.11111% per 1% drop.

The notes will price on Nov. 27 and settle on Nov. 30.

Lehman Brothers Inc. will be the underwriter.

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