By Laura Lutz
Des Moines, Oct. 30 - Lehman Brothers Holdings Inc. priced $144.33 million of 0% buffered return enhanced notes due Nov. 2, 2011 linked to a basket of 20 sub-indexes of the Lehman Brothers Commodity Index - Pure Beta Excess Return, according to an FWP filing with the Securities and Exchange Commission.
Each sub-index is linked to one commodity. The commodities are natural gas with a 10% weight; gold with a 9.5% weight; aluminum and copper, each with a 7.5% weight; soybeans with a 7% weight; corn and nickel, each with a 6% weight; WTI crude oil and Brent crude oil, each with a 5% weight; live cattle, wheat, zinc, sugar, cotton and coffee, each with a 4% weight; unleaded gas and soybean oil, each with a 3% weight; silver with a 2.5% weight; and heating oil and lean hogs, each with a 2% weight.
If the final basket level is at least the initial level, the payout at maturity will be par plus 181% of any gain on the basket.
The payout will be par if the basket declines by up to 20%. Investors will lose 1% for each 1% that the basket declines beyond 20%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | 20 weighted sub-indexes of the Lehman Brothers Commodity Index - Pure Beta Excess Return
|
| Amount: | $144.33 million
|
| Maturity: | Nov. 2, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket level is at least initial level, par plus 181% of any basket gain; par if basket declines up to 20%; investors lose 1% for each 1% decline beyond 20%
|
| Pricing date: | Oct. 26
|
| Settlement date: | Nov. 2
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | None
|
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