Lehman plans monthly return notes linked to seasonal strategy on the S&P 500

By Laura Lutz

Des Moines, Oct. 9 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected monthly return notes due Nov. 5, 2012 linked to a seasonal strategy on the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The strategy return will be the sum of the index performances for each of the observation months. The observation months will be January, March, April, May, July, October, November and December, beginning November 2007 and ending October 2012, inclusively.

The payout at maturity will be par plus the final strategy return times a participation rate that will be between 100% and 110%. The exact participation rate will be set at pricing.

The payout is subject to a floor of par.

The notes are expected to price on Oct. 26 and settle on Oct. 31.

Lehman Brothers Inc. is the underwriter.

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