Lehman to price principal-protected notes linked to seasonal S&P 500 exposure

By Angela McDaniels

Seattle, Sept. 5 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon principal-protected notes due Aug. 3, 2012 linked to a Seasonal Strategy on the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on Sept. 25 and settle on Sept. 28.

The strategy gives investors exposure to the monthly performance of the S&P 500 for January, March, April, May, July, October, November and December of each year. The final strategy return will equal the sum of the S&P 500's returns for the observation months over the life of the notes.

The payout at maturity will be par plus any strategy gain multiplied by a participation rate that is expected to be 100% to 110% and will be determined at pricing. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

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