By Laura Lutz
Des Moines, Nov. 30 - Lehman Brothers Holdings Inc. priced $500,000 of 0% buffered return enhanced notes due Dec. 5, 2011 linked to a basket of three indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 50% weight, the Dow Jones Euro Stoxx 50 index with a 35% weight and the Nikkei 225 index with a 15% weight.
If the final basket level is at least the initial level, the payout at maturity will be par plus 155% of any gain on the basket.
If the basket declines by up to 10%, the payout will be par times the basket performance.
If the basket declines by more than 10% and up to 20%, the payout will be 90% of par. 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: | S&P 500 index with 50% weight, Dow Jones Euro Stoxx 50 index with 35% weight and Nikkei 225 index with 15% weight
|
| Amount: | $500,000
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| Maturity: | Dec. 5, 2011
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| Coupon: | 0%
|
| Price: | Par plus 155% of any basket gain if basket performance is positive; par times basket performance if basket declines by up to 10%; 90% of par if basket declines by more than 10% and up to 20%; investors lose 1% for each 1% that basket declines beyond 20%
|
| Initial level: | 1,469.02 for S&P 500; 4,321.74 for Euro Stoxx 50; 15,153.78 for Nikkei 225
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| Pricing date: | Nov. 28
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| Settlement date: | Dec. 3
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.5%
|
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