Lehman to price 0% absolute buffer notes linked to index basket

By Jennifer Chiou

New York, May 19 - Lehman Brothers Holdings Inc. plans to price an issue of 0% absolute buffer notes due June 2010 linked to a basket of four indexes, according to a 424B5 filing with the Securities and Exchange Commission.

The underlying indexes are expected to include the Dow Jones Euro Stoxx 50 with a 33.3% weight, the FTSE 100 with a 30.5% weight, the Nikkei 225 with a 27.1% weight and the S&P/ASX 200 with a 9.1% weight.

Payout at maturity will be determined according to the basket performance. Investors will receive par plus the final basket return multiplied by the upside participation rate - estimated to be between 150% and 160% - if the final basket return is positive.

If the final basket return is negative and the final basket 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 basket return.

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

Lehman Brothers Inc. will be the underwriter.

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