By Jennifer Chiou
New York, Nov. 9 - Lehman Brothers Holdings Inc. priced a $2 million issue of 0% contingent payout notes due Nov. 11, 2007 linked to the S&P 100 and Russell 2000 indexes, according to a 424B5 filing with the Securities and Exchange Commission.
The payout at maturity will be based on the relative performance of the indexes. The relative performance for each day will equal the return of the S&P 100 minus the return of the Russell 2000 plus 1.3%.
If the final relative performance is positive or zero, the payout at maturity will be $1,130 per $1,000 principal amount of notes.
If the final relative performance is negative, the payout will be par plus $1,000 multiplied by the final relative performance.
The notes will be called if the relative performance falls to less than negative 70% before the valuation date. The redemption amount will be calculated in the same way as the payout at maturity.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Contingent payout notes
|
| Underlying indexes: | S&P 100, Russell 2000
|
| Amount: | $2 million
|
| Greenshoe: | $300,000
|
| Maturity: | Nov. 11, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Based on the relative performance of the indexes, which for each day will equal the return of the S&P 100 minus the return of the Russell 2000 plus 1.3%; $1,130 per $1,000 principal amount of notes if the final relative performance is positive or zero; if the final relative performance is negative, the payout will be par plus $1,000 multiplied by the final relative performance
|
| Call: | Automatic if the relative performance falls to less than negative 70% before the valuation date
|
| Pricing date: | Nov. 7
|
| Settlement date: | Nov. 10
|
| Underwriter: | Lehman Brothers
|
| Fees: | 1%
|
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