Lehman to price contingent principal protection notes linked to S&P 500

By Susanna Moon

Chicago, Aug. 13 - Lehman Brothers Holdings Inc. plans to price an issue of contingent principal protection annual review notes due Aug. 22, 2010 linked to S&P 500 index common stock, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly.

If the notes are not called, the payout will be par up to a 20% decline in the index. Beyond a 20% decline, investors will lose proportional to the decline in the index.

If the notes are called on the first review date, the notes will pay par plus a call premium of 9% to 9.5%. On the second review date, the notes will pay par plus a call premium of 18% to 19%. On the third review date, the notes will pay par plus a call premium of 27% to 28.5.

The exact percentage amounts will be set at pricing.

The notes are expected to price on Aug. 17 and settle on Aug. 22.

Lehman Brothers is the agent.

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