Lehman to price buffered principal at risk notes linked to Asian index basket

By E. Janene Geiss

Philadelphia, April 17 - Lehman Brothers Holdings Inc. plans to price an issue of zero-coupon buffered principal at risk notes due April 30, 2010 linked to a basket of six Asian equity indexes, according to an FWP filing with the Securities and Exchange Commission.

The underlying indexes include the Nikkei 225 with a 16.67% weight, the FTSE/Xinhua China 25 with a 16.67% weight, the MSCI Singapore Free with a 16.67% weight, the MSCI Taiwan with a 16.67% weight, the Kospi 200 with a 16.66% weight and the S&P CNX Nifty with a 16.66% weight.

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

Payout at maturity will be determined according to the basket performance. Investors will receive par plus the final basket return multiplied by the participation rate - expected to be 100% - if the final basket return is positive.

If the final basket return declines by 15% or less, investors will receive par. Investors will lose 1% for every 1% the index basket declines beyond 15%.

Lehman Brothers Inc. will be the underwriter.

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