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Lehman plans 0% buffered annual review notes linked to Euro Stoxx 50
By Laura Lutz
Washington, Feb. 9 - Lehman Brothers Holdings Inc. plans to offer an issue of 0% buffered annual review notes due Feb. 28, 2010 linked to the Dow Jones Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.
The notes are expected to price on Feb. 23 and settle on 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 10.4% and 10.9% if the notes are called on Feb. 26, 2008, between 20.8% and 21.8% if called on Feb. 23, 2009 and between 31.2% and 32.7% if called on Feb. 24, 2010. 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 underwriter.
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