By Laura Lutz
Washington, Jan. 30 - Lehman Brothers Holdings Inc. priced a $1.864 million issue of exchange rate-adjusted absolute buffer notes due Jan. 31, 2011 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket contains the Dow Jones Euro Stoxx 50 index with a 36.52% weighting, the FTSE 100 index with a 31.51% weighting, the Topix index with a 23.91% weighting and the S&P/ASX 200 index with an 8.06% weighting.
The starting basket level and ending basket level are calculated by converting the index level in the applicable local currency into a dollar amount at the then-current exchange rate.
The payout at maturity will be based upon the ending basket level:
• If the ending basket level is above the starting basket level, the payout will be par plus 128% of the basket return;
• If the ending basket level is equal to the starting basket level, the payout will be par;
• If the basket level declines by less than 20%, the payout will be par plus a return equal to the absolute value of the decline in the basket; and
• Investors will lose 1% for every 1% drop in the basket beyond 20%.
The deal is expected to price on Jan. 26 and settle on Jan. 31.
Lehman Brothers Inc. will be the agent for the offerings.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Exchange rate-adjusted absolute buffer notes
|
| Underlying indexes: | 36.52% weighting of the Dow Jones Euro Stoxx 50 index, 31.51% weighting of the FTSE 100 index, 23.91% weighting of the Topix index, 8.06% weighting of the S&P/ASX 200 index
|
| Amount: | $1.864 million
|
| Maturity: | Jan. 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket performance is positive, par plus 128% of gain on the basket; if basket declines by less than 20%, par plus absolute value of decline in the basket; if basket declines by more than 20%, par minus 1% for every 1% drop beyond 20%.
|
| Upside participation rate: | 128%
|
| Initial index levels: | 5358.44641 for Euro Stoxx 50, 12212.48520 for FTSE 100, 14.22238 for Topix, 4460.70969 for S&P/ASX 200
|
| Pricing date: | Jan. 26
|
| Settlement date: | Jan. 31
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | None
|
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