Lehman to price principal-protection capped return notes linked to S&P 500

By E. Janene Geiss

Philadelphia, March 6 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection capped return notes due March 21, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price March 14 and settle March 24.

The payout at maturity will be par plus the return on the index, capped at a maximum return of 22% to 26%. The exact cap will be determined at pricing. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

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