Lehman to price outperformance notes linked to S&P 100, Russell 2000

By Jennifer Chiou

New York, Oct. 2 - Lehman Brothers Holdings Inc. plans to price an issue of 0% outperformance notes due November 2007 linked to the S&P 100 and Russell 2000 indexes, according to a 424B5 filing with the Securities and Exchange Commission.

Payout at maturity will be based on the performance of the indexes, with the S&P 100 as the long index and the Russell 2000 as the short index. If the percentage increase of the long index exceeds that of the short index, holders will receive par plus double the "outperformance" percentage, capped at between 13% and 15%.

Holders will participate fully in any decline determined according to the percentage by which the Russell 2000 outperforms the S&P 100.

The notes will be callable if the relative index performance is less than negative 70% before the valuation date.

Lehman Brothers will be the underwriter.

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