Lehman Brothers plans barrier notes with contingent return linked to S&P 500

By Laura Lutz

Des Moines, Jan. 17 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected barrier notes with contingent return due July 30, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index never closes above its initial level by more than 15% or below its initial level by more than 25%, the payout at maturity will be par plus a contingent return that will be between 16.5% and 20%. The exact level of the contingent return will be set at pricing.

Otherwise, the payout will be par.

The notes are expected to price on Jan. 25 and settle on Jan. 30.

Lehman Brothers Inc. is the underwriter.

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