By Jennifer Chiou
New York, Dec. 29 - Lehman Brothers Holdings Inc. priced a $2.965 million issue of 0% buffered annual review notes due Dec. 29, 2009 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 increasing premiums if the index level is at or above the initial index level on any of the three annual review dates.
The redemption amount will be par plus a call premium of 7% if called Dec. 27, 2007, 14% if called Dec. 26, 2008 and 21% if called Dec. 23, 2009.
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 1.1111% for each 1% decline beyond 10%.
Lehman Brothers is the agent.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered annual review notes
|
| Underlying index: | S&P 500
|
| Amount: | $2.965 million
|
| Greenshoe: | $444,750
|
| Maturity: | Dec. 29, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if the index loses up to 10%; investors lose 1.1111% for each 1% decline beyond 10%
|
| Callable: | At par plus a call premium of 7% if called on Dec. 27, 2007, 14% if called Dec. 26, 2008 and 21% if called Dec. 23, 2009
|
| Pricing date: | Dec. 26
|
| Settlement date: | Dec. 29
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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