Published on 10/11/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $8.38 million autocallable absolute return barrier notes linked to S&P 500
By Laura Lutz
Des Moines, Oct. 11 - Lehman Brothers Holdings Inc. priced $8.38 million zero-coupon 100% principal protection autocallable absolute return barrier notes due Oct. 10, 2008 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 par if the index ever closes below a lower barrier level or above an upper barrier level during the life of the notes. The lower and upper barrier levels will be 15.2% below and above par, respectively.
Otherwise, the payout at maturity will be par plus the absolute value of the final index return.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | 100% principal protection autocallable absolute return barrier notes
|
| Underlying index: | S&P 500
|
| Amount: | $8,375,000
|
| Maturity: | Oct. 10, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus absolute value of the final index return
|
| Call: | At par if index closes below lower barrier or above upper barrier
|
| Initial level: | 1,565.15
|
| Lower barrier: | 1,327.25, 84.8% of initial level
|
| Upper barrier: | 1,803.05, 115.2% of initial level
|
| Pricing date: | Oct. 9
|
| Settlement date: | Oct. 12
|
| Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
|
| Fees: | 1.25%
|
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