By Laura Lutz
Washington, Feb. 8 - Lehman Brothers Holdings Inc. priced a $13.943 million issue of capped inverse return leveraged notes due Feb. 13, 2009 linked to the iShares Dow Jones U.S. Real Estate index fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the index fund reaches the knock-out level of $186.02, 200% of the initial price, during the life of the notes, the notes will automatically be called for a cash payment of par minus an amount equal to par multiplied by the share return on the day following the knock-out event minus 15%.
Payout at maturity will be par plus 200% of the absolute value of index fund return if the final price is below the initial price. The return will be capped at 40%.
Investors will shares in losses determined according to the gain on the index fund beyond the 15% threshold.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Capped inverse return leveraged notes
|
| Underlying stock: | iShares Dow Jones U.S. Real Estate index fund
|
| Amount: | $13.943 million
|
| Maturity: | Feb. 13, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of the absolute value of the fund return if the final price is below the initial price; par if the fund return is positive but less than 15%; share in losses from any gain in the fund beyond 15%
|
| Initial share price: | $93.01
|
| Call: | Notes will be automatically called if fund reaches $186.02. Payment is par minus an amount equal to par times difference of share return minus 15%
|
| Pricing date: | Feb. 6
|
| Settlement date: | Feb. 13
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 0.875%
|
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