By Susanna Moon
Chicago, May 6 - Lehman Brothers Holdings Inc. priced $2.55 million of 0% semiannual review notes with contingent protection due May 8, 2009 linked to the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at increasing premiums if the fund level is at or above its initial price on either of two semiannual review dates.
The redemption amount will be par plus 10% if the notes are called on the first review date, set for Nov. 3, 2008 and par plus 20% if called on the second and final review date, set for May 5, 2009.
If the notes are not called, the payout at maturity will be par unless the fund shares fall by more than 15%, in which case investors will lose 1% for every 1% decline beyond 15%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Semiannual review notes with contingent protection
|
| Underlying fund: | Financial Select Sector SPDR fund
|
| Amount: | $2.55 million
|
| Maturity: | May 8, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless fund shares fall by more than 15%, in which case investors will lose 1% for every 1% drop beyond 15%
|
| Callable: | If fund is at or above the initial share price on a review date; redeemable at par plus 10% if called on Nov. 3, 2008 and par plus 20% if called on May 5, 2009
|
| Initial share price: | $27.71
|
| Trigger price: | $23.55, or 85% of initial share price
|
| Pricing date: | May 2
|
| Settlement date: | May 7
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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