Lehman to price Wedding Cake range notes linked to six-month Libor

By Angela McDaniels

Seattle, March 2 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon principal-protected "Wedding Cake" range notes due March 2008 linked to six-month Libor, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price and settle in March.

The payout at maturity will be 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 4.75% to 5.75%.

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

The exact barrier levels will be determined at pricing.

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

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