Lehman to price 0% annual review notes linked to three indexes

By Susanna Moon

Chicago, March 3 - Lehman Brothers Holdings Inc. plans to price an offering of 0% annual review notes with contingent principal protection due 2011 linked to the least-performing index in a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Dow Jones Euro Stoxx index, Nikkei 225 index and S&P 500 index.

The notes will be automatically called at increasing premiums if the level of each index on any annual review date is at or above its initial level.

The redemption amount will be par plus between 18% and 22% if the notes are called on the review date in 2009, par plus between 36% and 44% if called on the review date in 2010 and par plus between 54% and 66% if called on the review date in 2011. The actual percentages and review dates will be set at pricing.

If the notes are not called, the payout at maturity will be par unless the final level of the least-performing index is more than 25% below its initial level, in which case investors will be exposed to that index's decline.

The notes will price and settle sometime in 2008.

Lehman Brothers Inc. will underwrite the offering.

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