Lehman Brothers to price 0% buffered annual review notes linked to Euro Stoxx 50

By Jennifer Chiou

New York, Aug. 2 - Lehman Brothers Holdings Inc. plans to price 0% buffered annual review notes due Aug. 31, 2010 linked to the Dow Jones Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price Aug. 28 and settle Aug. 31.

The notes will be called at increasing premiums if the index level is at or above its initial level on one of three annual review dates. The redemption amount will be par plus at least 12% to 13% if the notes are called Aug. 29, 2008, par plus at least 24% to 26% if called Aug. 28, 2009 and par plus at least 36% to 39% if called Aug. 26, 2010. The exact redemption amounts will be determined at pricing.

If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%, in which case investors will lose 1.1111% for each 1% decline beyond 10%.

Lehman Brothers Inc. will be the agent.

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