By Angela McDaniels
Seattle, Aug. 21 - Lehman Brothers Holdings Inc. priced $2.5 million of 0% annual review notes with contingent principal protection due Aug. 22, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at increasing premiums if the index level is at or above its initial level on an annual review date. The redemption amount will be par plus 10.7% if the notes are called on Aug. 19, 2008, par plus 21.4% if called on Aug. 17, 2009 and par plus 32.1% if called on Aug. 18, 2010.
If the notes are not called, the payout at maturity will be par unless the index declines by more than 20%, in which case investors will lose 1% for each 1% decline beyond 20%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Annual review notes with contingent principal protection
|
| Underlying index: | S&P 500
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| Amount: | $2.5 million
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| Maturity: | Aug. 22, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if final index level is at least 80% of its initial level; 1% loss for each 1% index decline beyond 20%
|
| Call: | If index level is at or above its initial level on an annual review date; investors will receive par plus 10.7% if called on Aug. 19, 2008, par plus 21.4% if called on Aug. 17, 2009 and par plus 32.1% if called on Aug. 18, 2010
|
| Initial index level: | 1,445.94
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| Pricing date: | Aug. 17
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| Settlement date: | Aug. 22
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2%
|
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