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

By E. Janene Geiss

Philadelphia, April 27 - Lehman Brothers Holdings Inc. plans to price 0% buffered enhanced participation notes due May 9, 2011 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 39% weight, the FTSE 100 with a 29% weight, the Nikkei 225 with a 22% weight and the S&P/ASX 200 with a 10% weight.

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

The notes are expected to price May 4 and settle May 9.

Lehman Brothers Inc. will be the underwriter.

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