Lehman to issue Wedding Cake principal-protected notes linked to six-month Libor

By E. Janene Geiss

Philadelphia, Feb. 2 - Lehman Brothers Holdings Inc. plans to price an issue of 100% principal-protected "Wedding Cake" notes linked to the six-month Libor rate with an expected maturity in February 2008, according to an FWP filing with the Securities and Exchange Commission.

At maturity, investors will receive par plus 10% if, during the life of the notes, six-month Libor remains within the narrowest barrier range, expected to be 5.25% to 5.50%; par plus 8% if six-month Libor remains within the middle barrier range, expected to be 5.125% to 5.625%; and par plus 6% if Libor remains within the broadest barrier range, expected to be 5% to 5.75%.

If six-month Libor moves outside that range, the payout at maturity will be par.

The exact barrier levels will be set at pricing.

Pricing and settlement are expected in February.

Lehman Brothers Inc. will be the underwriter for the offering.

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