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Lehman to price 0% buffered return enhanced notes linked to basket of LBCI sub-indexes
By E. Janene Geiss
Philadelphia, Oct. 19 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due Nov. 2, 2011 linked to a basket of LBCI Pure Beta sub-indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of LBCI Pure Beta Heating Oil Excess Return and LBCI Pure Beta Lean Hogs Excess Return, both with a 2% weight, LBCI Pure Beta Silver Excess Return with a 2.5% weight; LBCI Pure Beta Soybean Oil Excess Return and LBCI Pure Beta Unleaded Gas Excess Return, both with a 3% weight; LBCI Pure Beta Sugar Excess Return, LBCI Pure Beta Cotton Excess Return, LBCI Pure Beta Coffee Excess Return, LBCI Pure Beta Live Cattle Excess Return, LBCI Pure Beta Zinc Excess Return, LBCI Pure Beta Wheat Excess Return, all with a 4% weight; LBCI Pure Beta Crude Oil Excess Return and LBCI Pure Beta Brent Excess Return, both with a 5% weight; LBCI Pure Beta Nickel Excess Return and LBCI Pure Beta Corn Excess Return, both with a 6% weight; LBCI Pure Beta Soybeans Excess Return with a 7% weight; LBCI Pure Beta Aluminum Excess Return, LBCI Pure Beta Copper Excess Return, both with a 7.5% weight; LBCI Pure Beta Gold Excess Return with a 9.5% weight; and LBCI Pure Beta Natural Gas Excess Return with a 10% weight.
The notes are expected to price Oct. 26 and settle Nov. 2.
The payout at maturity will be par plus 180% of any index gain with the exact participation rate to be set at pricing.
The payout will be par up to a 20% decline in the index. Beyond a 20% drop, investors will lose 1% for each 1% loss in the index.
Lehman Brothers Inc. will be the underwriter.
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