Lehman Brothers plans issue of Rapids linked to basket of five Asian indexes

By Angela McDaniels

Seattle, Feb. 16 - Lehman Brothers Holdings Inc. plans to price an issue of 0% senior unsecured notes due May 2007 in the Return-Accelerated Portfolio Debt Securities (Rapids) structure, according to a 424B5 filing with the Securities and Exchange Commission.

The return will be linked to a basket of five stock indexes: the Korea Stock Price index 200 with a 31.3% weight, the MSCI Taiwan index with a 24.7% weight, the AMEX Hong Kong 30 index with a 18.9% weight, the FTSE/Xinhua China 23 index with a 14.5% weight and the MSCI Singapore Free index, with a 10.6% weight.

At maturity, the notes will pay par plus double any gain on the basket. The return will be capped at between $1,180 and $1,190 per note, with the exact cap to be determined at pricing.

If the basket loses up to 10%, payout at maturity will be par. If the basket loses more than 10%, payout at maturity will be par less 1.1111 times any loss over 10%.

Lehman Brothers Inc. will be underwriter for the offering.

The settlement date is expected to be on or around March 3.

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