Lehman to price 0% buffered return enhanced notes linked to iShares MSCI EAFE Index Fund

By E. Janene Geiss

Philadelphia, April 23 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes expected to mature May 7, 2010 linked to the iShares MSCI EAFE Index Fund, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus a participation rate that will be determined at pricing and expected to be 200%, subject to a maximum gain of 30% to 36%. The exact cap will be determined at pricing.

If the basket declines by 10% or less, the payout will be par. Investors will lose 1.11111% for every 1% the basket declines beyond a 10% decline.

The notes are expected to price May 2 and settle May 7.

Lehman Brothers Inc. will be the underwriter.

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