By E. Janene Geiss
Philadelphia, Nov. 20 - Lehman Brothers Holdings Inc. priced a $2,415,000 issue of 0% notes due Nov. 29, 2010 linked to the Dow Jones - AIG Commodity Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 145% of any gain in the index. The exact participation rate will be determined at pricing.
The payout is protected up to a 20% decline in the index. Investors will lose 1% for each 1% the index declines beyond 20%.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Medium-term notes
|
| Underlying index: | Dow Jones - AIG Commodity Index Excess Return
|
| Amount: | $2,415,000
|
| Maturity: | Nov. 29, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 145% of any index increase; par up to a 20% decline; full exposure to any decline beyond 20%
|
| Initial index level: | 182.345
|
| Buffer index level: | 145.876
|
| Pricing date: | Nov. 20
|
| Settlement date: | Nov. 28
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 0.675%
|
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