Lehman Brothers to price absolute return barrier notes linked to S&P 500

By Laura Lutz

Des Moines, Sept. 26 - Lehman Brothers Holdings Inc. plans to price an issue of zero-coupon 100% principal protection absolute return barrier notes due April 30, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

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

If, on any day during the life of the notes, the index has increased or decreased from its initial level by more than the absolute return barrier amount, the payout will be par. The absolute return barrier amount is expected to be between 24% and 27%. The exact amount will be set at pricing.

Otherwise, investors will receive par plus the absolute value of the return on the index.

UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.

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