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

By E. Janene Geiss

Philadelphia, May 11- Lehman Brothers Holdings Inc. plans to price 0% buffered return participation notes due Nov. 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 index with a 39% weight, the FTSE 100 index with a 29% weight, the Nikkei 225 index with a 22% weight and the S&P/ASX 200 index 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 between 120%. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% that the index drops beyond 20%.

The notes are expected to price May 25 and settle May 31.

Lehman Brothers Inc. will be the underwriter.

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