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

By Jennifer Chiou

New York, May 31 - Lehman Brothers Holdings Inc. plans to price zero-coupon principal at risk buffered return participation notes due June 6, 2010 linked to a basket of equity indexes, according to an FWP filing with the Securities and Exchange Commission.

The underlying indexes 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 9.610% weight.

The notes will price on June 1 and settle on June 6.

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 132% - if the final basket return is positive.

If the final basket return declines by 20% or less, investors will receive par. Investors will lose 1% for every 1% the index basket declines beyond 20%.

Lehman Brothers Inc. will be the underwriter.

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