Lehman plans principal-protected notes linked to three indexes

By Laura Lutz

Des Moines, Dec. 4 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection notes due December 2011 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

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

The payout at maturity will be par plus any gain on the basket times a participation rate that is expected to be between 85% and 95%. The exact participation rate will be set at pricing.

Investors will receive at least par.

The notes are expected to price and settle in December.

Lehman Brothers Inc. is the underwriter.

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