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

By Angela McDaniels

Seattle, Oct. 17 - Lehman Brothers Holdings Inc. plans to price an issue of 0% contingent payout 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.

The payout at maturity will be based on the relative performance of the indexes. The relative performance for each day will equal the return of the S&P 100 minus the return of the Russell 2000 plus 1.3%.

If the final relative performance is positive or zero, the payout at maturity will be a fixed amount, which is expected to be $1,130 per $1,000 principal amount of notes and will be determined at pricing.

If the final relative performance is negative, the payout will be par plus $1,000 multiplied by the final relative performance.

The notes will be called if the relative performance falls to less than negative 70% before the valuation date. The redemption amount will be calculated in the same way as the payout at maturity.

Lehman Brothers Inc. will be the underwriter.

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