Lehman plans absolute return barrier notes linked to S&P 500 with asymmetric barriers

By Jennifer Chiou

New York, May 23 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection absolute return barrier notes due June 29, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index ever closes above the upper index barrier or below the lower index barrier, the payout at maturity will be par of $10. Otherwise, the payout will be par plus the absolute value of the index return.

The upper index barrier is expected to be 17.5% to 19.5% above the initial index level while the lower barrier is expected to be 1% to 10% below the initial level. The exact barrier levels will be determined at pricing.

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

Lehman Brothers Inc. will be the underwriter.

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