Lehman to price principal protection notes linked to S&P 500, iShares MSCI EAFE

By Angela McDaniels

Tacoma, Wash., Dec. 10 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon 100% principal protection notes due December 2009 linked to a basket containing an index and an exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 70% weight and the iShares MSCI EAFE index fund with a 30% weight.

The payout at maturity will be par plus any basket gain, subject to a maximum return that is expected to be 17% to 18.5% and will be determined at pricing. Investors will receive at least par.

The notes will price and settle in December.

Lehman Brothers Inc. will be the underwriter.

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