Lehman Brothers to price buffered return participation notes linked to index basket

By Jennifer Chiou

New York, April 13 - Lehman Brothers Holdings Inc. plans to price 0% buffered return participation notes due April 30, 2010 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket will include the Dow Jones Euro Stoxx 50 with a 33.927% weight, the FTSE 100 with a 33.836% weight, the Nikkei 225 with a 22.627% weight and the S&P/ASX 200 with a 9.61% weight.

The payout at maturity will be par plus any positive return on the basket multiplied by a participation rate of between 115% and 130%. Investors will receive par if the basket declines by up to 20% and will lose 1.25% for each 1% that the index drops beyond 20%.

The notes are expected to price on April 25 and settle on April 30.

Lehman Brothers Inc. will be the underwriter.

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