By E. Janene Geiss
Philadelphia, Oct. 24 - Lehman Brothers Holdings Inc. priced $1 million in auto-callable steepener notes due Nov. 15, 2010, according to an FWP filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the spread of the 10-year constant maturity swap (CMS) rate over the two-year CMS rate is at least an early redemption threshold on any of six semi-annual observation dates.
The early redemption threshold is 1%. The redemption amount will be 105% if the notes are called on May 15, 2008, 110% on Nov. 15, 2008, 115% on May 15, 2009, 120% on Nov. 15, 2009, 125% on May 15, 2010 and 130% on Nov. 15, 2010.
If the notes are not called early, the payout at maturity will be 100% of par.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Auto-callable steepener notes
|
| Amount: | $1 million
|
| Maturity: | Nov. 15, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Notes called at increasing premiums if spread of 10-year CMS rate over two-year CMS rate is at least an early redemption threshold on any six semi-annual observation dates; otherwise, par
|
| Call: | Automatically called if 10-year CMS rate over two-year CMS rate is 105% on May 15, 2008; 110% on Nov. 15, 2008; 115% on May 15, 2009; 120% on Nov. 15, 2009; 125% on May 15, 2010 and 130% on Nov. 15, 2010
|
| Pricing date: | Oct. 23
|
| Settlement date: | Nov. 15
|
| Agents: | Lehman Brothers Inc.
|
| Fees: | 1%
|
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