Lehman Brothers to price 0% notes linked to basket of four indexes

By Angela McDaniels

Seattle, Feb. 9 - Lehman Brothers Holdings Inc. plans to issue 0% limited principal protection notes due 2009 linked to a basket of four stock indexes, according to a 424B5 filing with the Securities and Exchange Commission.

The underlying indexes are the Dow Jones Euro Stoxx 50 index with a 33% weight, the FTSE 100 index with a 32% weight, the Nikkei 225 index with a 25% weight and the S&P/ASX 200 index with a 10% weight.

If the basket return is positive, payout at maturity will be par plus the return on the basket multiplied by the participation rate, which is expected to be between 125% and 135%, with the final level to be fixed at pricing.

If the basket declines by up to 20%, payout will be par.

If the basket declines by more than 20%, payout will par minus the percentage loss from the initial level divided by 80%.

Lehman Brothers Inc. will act as agent for the deal.

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