By Laura Lutz
Des Moines, Nov. 28 - Lehman Brothers Holdings Inc. priced $530,000 of 0% buffered return enhanced notes due Nov. 29, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the final index level is at least the initial level, the payout at maturity will be par plus 111.2% of any gain on the index.
If the index declines by up to 15%, the payout will be par. Investors will lose 1% for each 1% that the index declines beyond 15%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying index: | S&P 500
|
| Amount: | $530,000
|
| Maturity: | Nov. 29, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 111.2% of any index gain if index performance is positive; par if index declines by up to 15%; investors lose 1% for each 1% that index declines beyond 15%
|
| Initial level: | 1,407.22
|
| Pricing date: | Nov. 26
|
| Settlement date: | Nov. 29
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.5%
|
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