Lehman to price 0% enhanced participation notes linked to Nikkei, S&P 500

By Angela McDaniels

Seattle, March 21 - Lehman Brothers Holdings Inc. plans to price an offering of 0% buffered principal-at-risk enhanced participation notes due Oct. 8, 2008 linked to the Nikkei 225 and S&P 500 indexes, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on April 3 and settle on April 6.

The payout at maturity will be par plus 225% of any percentage increase in the level of the lesser-performing index.

If the lesser-performing index declines by 10% or less, the payout will be par. Investors will lose 1% for every 1% decline in the lesser-performing index beyond 10%.

Lehman Brothers Inc. will be the underwriter and will receive a discount of 2%.

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