By Jennifer Chiou
New York, Dec. 19 - Lehman Brothers Holdings Inc. priced a $1 million issue of 0% autocallable notes linked due June 23, 2008 linked to the Lehman Brothers Commodity Index Natural Gas Excess Return, according to an FWP filing with the Securities and Exchange Commission.
The notes will be called if the index level is greater than or equal to the initial index level on the fifth business day prior to the one-year anniversary date of the note issuance or on the final valuation date, which is five business days prior to the maturity date.
If called on the fifth business day prior to the anniversary date, the payout will be par of $10,000 plus 31%. If called on the final valuation date, the payout will be par of $10,000 plus 46.5%.
If the notes have not been called, the payout at maturity will be par unless the index declines by more than 45%, in which case investors will be fully exposed to the decline.
Lehman Brothers is the agent.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Autocallable notes
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| Underlying index: | Lehman Brothers Commodity Index Natural Gas Excess Return
|
| Amount: | $1 million
|
| Maturity: | June 23, 2008
|
| Coupon: | 0%
|
| Price: | Par of $10,000
|
| Payout at maturity: | Par unless the index declines by more than 45%, in which case investors will be fully exposed to the decline
|
| Call: | If index level is greater than initial level on the fifth business day prior to the anniversary date, par of $10,000 plus 31%; if called on the final valuation date, the payout will be par of $10,000 plus 46.5%
|
| Initial index value: | 65.8747
|
| Pricing date: | Dec. 15
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| Settlement date: | Dec. 22
|
| Underwriter: | Lehman Brothers Inc.
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