Lehman to price 0% absolute buffer notes linked to Euro Stoxx 50

By Jennifer Chiou

New York, Oct. 12 - Lehman Brothers Holdings Inc. plans to price an issue of 0% absolute buffer notes due October 2009 linked to the Dow Jones Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

Payout at maturity will be determined according to the index performance. Investors will receive par plus the final index return multiplied by the upside participation rate - estimated to be between 125% and 130% - if the final index return is positive.

If the final index return is negative and the final index level is greater than or equal to the threshold level - anticipated to be 80% - investors will receive par plus the absolute value of the final index return.

If the final index return is negative and the final index level is less than the threshold level, investors will share in the losses.

Lehman Brothers Inc. will be the underwriter.

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