Lehman to price 0% buffered return enhanced notes linked to financial stock basket

By Jennifer Chiou

New York, Dec. 6 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due Dec. 14, 2009 linked to a basket of financial stocks, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights of Citigroup Inc., Goldman Sachs Group, Inc., Merrill Lynch & Co., Inc., Morgan Stanley, Wachovia Corp. and Washington Mutual, Inc.

Payout at maturity will be par plus 105% to 107% of any basket gain, capped at 70%, with the exact participation rate to be set at pricing.

If the basket falls by up to 25%, the payout will be par. Beyond a 25% drop, investors will lose 1% for each 1% loss in the basket.

The notes are expected to price on Dec. 10 and settle on Dec. 13.

Lehman Brothers Inc. will be the underwriter.

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