Published on 6/12/2008 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $4.49 million annual review notes linked to S&P 500
By Susanna Moon
Chicago, June 12 - Lehman Brothers Holdings Inc. priced $4.49 million of 0% annual review notes with contingent principal protection due June 13, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the index level is at or above the initial index level on any review date.
The payment will be par plus a call premium of 12.5% if called on June 11, 2009, par plus 25% if called on June 10, 2010 and par plus 37.5% if called on June 8, 2011.
If the notes are not called, the payout at maturity will be par if the index remains at or above the trigger level - 60% of the initial index level - throughout the life of the notes. If the index ever falls below the trigger level, investors will lose 1% for each 1% that the final index level is below the initial index level.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Annual review notes with contingent principal protection
|
| Underlying index: | S&P 500
|
| Amount: | $4,488,000
|
| Maturity: | June 13, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless index falls below trigger level during life of notes, in which case investors will be fully exposed to any decline in final index level
|
| Callable: | If index closes at or above its initial level on any review date; at par plus 12.5% if called on June 11, 2009, par plus 25% if called on June 10, 2010 and par plus 37.5% if called on June 8, 2011
|
| Initial level: | 1,358.44
|
| Trigger level: | 815.06, 60% of initial level
|
| Pricing date: | June 10
|
| Settlement date: | June 13
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2%
|
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