Lehman plans issue of 0% buffer notes linked to Nikkei 225 index

By Angela McDaniels

Seattle, March 8 - Lehman Brothers Holdings Inc. plans to price an issue of 0% absolute buffer notes due March 2009 linked to the Nikkei 225 index, according to a 424B5 filing with the Securities and Exchange Commission.

Payout at maturity will be 150% to 160% of any gain on the index, with the exact percentage to be determined at pricing.

If the index loses up to 10%, the notes will pay par plus the absolute value of the change in the index. Investors will participate fully in losses if the index falls by more than 10%.

Lehman Brothers Inc. will be the underwriter for the offering and will be granted a greenshoe.

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