Lehman to price principal at risk notes linked to index basket

By Jennifer Chiou

New York, June 6 - Lehman Brothers Holdings Inc. plans to price zero-coupon principal at risk enhanced participation notes due June 2010 linked to a basket of international 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 35.42% weight, the FTSE 100 with a 33.97% weight, the Nikkei 225 with a 21.42% weight and the S&P/ASX 200 with a 9.19% weight.

Because the stocks underlying the indexes are denominated in foreign currencies, relevant currencies include the euro, British pound sterling, Japanese yen and the Australian dollar, all against the dollar, and the exchange rates will be factored into the ending basket level. The ending basket level will be calculated using the spot exchange rate for each currency times the corresponding index level multiplied by the index weighting.

Investors will receive par plus the ending basket return multiplied by the participation rate - expected to be between 125% and 135% - if the final basket return is positive.

Investors will share in any losses.

The notes will price and settle in June.

Lehman Brothers Inc. will be the underwriter.

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