Lehman to sell annual review notes linked to S&P 500

By Susanna Moon

Chicago, May 30 - Lehman Brothers Holdings Inc. priced a $4.28 million issue of 0% annual review notes with contingent principal protection due June 12, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at 111.5% of par if the index level is at or above the initial index level on any review date.

The payment will be at least 10% to 11% if called on June 10, 2009, at least 20% to 22% if called on June 9, 2010 and at least 30% to 33% if called on June 8, 2011. The exact percentages will be set at pricing.

If the notes are not called, the payout at maturity will be par if the ending index level is at least 60% of the initial index level. Investors will lose 1% for each 1% decline beyond 10%.

The notes are expected to price on June 9 and settle on June 12.

Lehman Brothers is the underwriter.

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