Lehman to price 0% annual review notes linked to Nikkei 225

By Angela McDaniels

Seattle, Feb. 9 - Lehman Brothers Holdings Inc. plans to price an offering of 0% buffered annual review notes due Feb. 28, 2010 linked to the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on Feb. 23 and settle on Feb. 28.

The notes will be automatically called at increasing premiums if the index level on any review date is at or above its initial level. The redemption amount will be par plus between 10.3% and 10.8% if the notes are called on Feb. 26, 2008, par plus between 20.6% and 21.6% if called on Feb. 23, 2009 and par plus between 30.9% and 32.4% if called on Feb. 24, 2010. The actual percentages will be determined at pricing.

If the notes are not called, the payout at maturity will be par unless the final index level declines by more than 10%, in which case investors will lose 1.11111% for each 1% decline in the index beyond 10%.

Lehman Brothers Inc. will underwrite the offering and will receive a discount of 1.5%.

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