Lehman plans 0% buffered annual review notes linked to S&P 500

By E. Janene Geiss

Philadelphia, Dec. 14 - Lehman Brothers Holdings Inc. plans to offer an issue of 0% buffered annual review notes due Dec. 29, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price Dec. 26 and settle Dec. 29.

The notes will be automatically called at increasing premiums if the index level is at or above the initial index level on any of the three annual review dates.

The redemption amount will be par plus a call premium of between 6.75% and 7.25% if called Dec. 27, 2007, between 13.5% and 14.5% if called Dec. 26, 2008 and between 20.25% and 21.75% if called Dec. 23, 2009. The exact call premiums will be determined at pricing.

If the notes are not called, the payout at maturity will be par if the ending index level is at least 90% of the initial index level. Investors will lose 1.1111% for each 1% decline beyond 10%.

Lehman Brothers will be the agent.

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