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Lehman plans autocallable absolute return barrier notes linked to MSCI EAFE
By E. Janene Geiss
Philadelphia, Dec. 11 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection autocallable absolute return barrier notes due June 2009 linked to the MSCI EAFE index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be automatically called at par if the index ever closes above or below its initial value by more than an absolute return barrier amount.
The return barrier amount is expected to be between 14% and 17%. The exact amount will be set at pricing.
If the notes are not called, the payout at maturity will be par plus the absolute value of the final index return. Investors will receive at least par.
The notes are expected to price and settle in December.
Lehman Brothers Inc. is the underwriter.
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