Lehman plans annual review notes linked to GE

By Laura Lutz

Des Moines, Feb. 4 - Lehman Brothers Holdings Inc. plans to price 0% annual review notes with contingent protection due Feb. 27, 2011 linked to the common stock of General Electric Co., according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called if General Electric stock closes above its initial price on any of four annual review dates. In that case, the redemption amount will be par plus 11.75% for each year that the notes were held.

If the notes are not called early and the stock does not close below 75% of its initial price during the life of the notes, the payout at maturity will be par.

If the notes are not called early and the stock does close below 75% at some point, the payout will be a number of General Electric shares equal to par divided by the initial price.

The notes are expected to price on Feb. 22 and settle on Feb. 27.

Lehman Brothers Inc. is the underwriter.

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