Lehman to price 0% buffered return enhanced notes linked to index basket

By E. Janene Geiss

Philadelphia, Aug. 8 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due Aug. 15, 2010 linked to a basket of four indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights (25%) of the Dow Jones Euro Stoxx 50, the Nikkei 225, the MSCI Singapore Free Index and the MSCI Taiwan indexes.

The notes are expected to price Aug. 10 and settle Aug. 15.

The payout at maturity will be par plus double any basket gain with a maximum return that will be determined at pricing and expected to be between 47.5% and 52.5%. Investors will receive par if the basket declines by 10% or less and will lose 1.11111% for each 1% decline beyond 10%.

Lehman Brothers Inc. will be the underwriter.

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