By Jennifer Chiou
New York, July 24 - Lehman Brothers Holdings Inc. priced $2.3 million of 0% annual review notes with contingent protection due July 25, 2011 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 any of three annual review dates.
The redemption amount will be par plus 27% if the notes are called on the first review date, set for July 24, 2009, par plus 54% if called on the second review date, set for July 23, 2010 and par plus 81% if called on the third review date, set for July 21, 2011.
If the notes are not called, the payout at maturity will be par unless the fund shares fall by more than 40%, in which case investors share in any losses.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Annual review notes with contingent protection
|
| Underlying fund: | Financial Select Sector SPDR fund
|
| Amount: | $2.3 million
|
| Maturity: | July 25, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless fund shares fall by more than 40%, in which case investors will share in any losses
|
| Callable: | If fund is at or above the initial share price on a review date; redeemable at par plus 27% if the notes are called on July 24, 2009, par plus 54% if called on July 23, 2010 and par plus 81% if called on July 21, 2011
|
| Initial share price: | $22.35
|
| Trigger price: | $13.41, 60% of initial share price
|
| Pricing date: | July 23
|
| Settlement date: | July 25
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.625%
|
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