By Angela McDaniels
Seattle, Feb. 27 - Lehman Brothers Holdings Inc. priced a $3.897 million issue of 0% buffered principal-at-risk enhanced participation notes due Aug. 28, 2010 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index with a 50% weight, Dow Jones Euro Stoxx 50 index with a 19.5% weight, FTSE 100 index with a 14.5% weight, Nikkei 225 index with a 14% weight and S&P 500/ASX 200 index with a 2% weight.
The payout at maturity will be par plus 117.5% of any positive return on the basket. Investors will receive par if the basket declines by 15% or less and will lose 1% for each 1% decline in the basket beyond 15%.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered principal-at-risk enhanced participation notes
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| Underlying basket: | S&P 500 (50% weight), Dow Jones Euro Stoxx 50 (19.5% weight), FTSE 100 (14.5% weight), Nikkei 225 (14% weight) and S&P 500/ASX 200 (2% weight)
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| Amount: | $3.897 million
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| Maturity: | Aug. 28, 2010
|
| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 117.5% of any basket gain; par if basket declines by 15% or less; 1% loss for each 1% decline beyond 15%
|
| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Underwriter: | Lehman Brothers Inc.
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| Underwriting discount: | 2%
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