Lehman plans to price 0% buffered annual review notes linked to S&P 500

By Jennifer Chiou

New York, April 25 - Lehman Brothers Holdings Inc. plans to price 0% buffered annual review notes due May 5, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called if the index level is at or above the initial index level on April 30, 2009, the review date.

The redemption amount will be par plus a call premium of between 11.25% and 12.5% if the notes are called. The exact call premium will be determined at pricing.

If the notes are not called, the payout at maturity will be par if the ending index level is at least 90% of the initial index level. Investors will lose 1.11111% for each 1% decline beyond 10%.

The notes are expected to price on April 29 and settle on May 2.

Lehman Brothers Inc. is the underwriter.

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