Lehman to issue principal protection enhanced participation notes linked to Asian indexes

By Susanna Moon

Chicago, Aug. 2 - Lehman Brothers Holdings Inc. plans to price 100% principal protection enhanced participation notes due Aug. 30, 2012 linked to a basket of Asian indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Nikkei 225 index with a 33.34% weight, the MSCI Singapore Free index with a 33.33% weight and the MSCI Taiwan with a 33.33% weight.

The payout at maturity will be par plus any basket gain times a participation rate that is expected to be between 115% and 125%, with the exact level to be set at pricing. Investors will receive at least par.

The notes are expected to price on Aug. 27 and settle on Aug. 30.

Lehman Brothers Inc. is the underwriter.

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