Lehman to price 0% buffered return enhanced notes linked to three indexes

By Susanna Moon

Chicago, Nov. 6 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due November 2011 linked to a basket of three indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Dow Jones Euro Stoxx 50 index weighted at 50%, the Nikkei 225 index weighted at 30% and the FTSE 100 index weighted at 20%.

Payout at maturity will be par plus 155% to 165% of any index gain, with the exact participation rate to be set at pricing.

If the basket falls by up to 7.5%, the payout will be par. Beyond a 7.5% drop, investors will lose 1% for each 1% loss in the index.

The notes are expected to price and settle in November.

Lehman Brothers Inc. will be the underwriter.

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