Lehman to price principal-protected notes linked to four European indexes

By Angela McDaniels

Seattle, June 6 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon principal-protected notes due Dec. 29, 2011 linked to a basket of four indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the CAC 40, DAX, IBEX 35 and OMX Stockholm 30 indexes.

The payout at maturity will be par plus any basket gain multiplied by the participation rate, which is expected to be 104% and will be determined at pricing. Investors will receive at least par.

The notes are expected to price on June 26 and settle on June 29.

Lehman Brothers Inc. will be the underwriter.

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