Lehman plans 0% barrier notes with contingent return linked to S&P 500

By Laura Lutz

Des Moines, March 25 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protected barrier notes with contingent return due April 14, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index never closes above the index barrier - 130% of its initial level - during the life of the notes, the payout at maturity will be par plus any gain on the index.

If the index ever closes above the index barrier, the payout will be par plus a fixed return of 8% to 12%. The exact fixed return will be set at pricing.

The notes are expected to price and settle on April 9.

Lehman Brothers Inc. is the agent.

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