Lehman to issue enhanced participation notes linked to index basket

By Laura Lutz

Des Moines, June 5 - Lehman Brothers Holdings Inc. plans to price an issue of enhanced participation notes due June 2010 linked to a basket of four indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Dow Jones Euro Stoxx 50 index with a 35.42% weight, the FTSE 100 index with a 33.97% weight, the Nikkei 225 index with a 21.42% weight and the S&P/ASX 200 index with a 9.19% weight.

The payout at maturity will be par plus any return on the basket times a participation rate that will be between 125% and 135%. The exact participation rate will be set at pricing.

If the basket declines by less than 10%, the payout will be par. Investors will lose 1% for every 1% that the basket declines beyond 10%.

The notes are expected to price and settle in June.

Lehman Brothers Inc. is the agent.

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