By Angela McDaniels
Seattle, March 28 - Lehman Brothers Holdings Inc. priced a $23.5 million issue of 0% performance securities with partial protection due March 31, 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 33.34% weight, the Dow Jones Euro Stoxx 50 with a 33.33% weight and the Nikkei 225 index with a 33.33% weight.
The payout at maturity will be par of $10.00 plus 119.6% of any percentage increase in the basket level.
The payout will be par if the basket level remains flat or declines by no more than 20%. Investors will lose 1% for each 1% decline beyond 20%.
The underwriters are UBS Financial Services Inc. and Lehman Brothers Inc.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Performance securities with partial protection
|
| Underlying indexes: | S&P 500 (33.34% weight), Dow Jones Euro Stoxx 50 (33.33% weight), Nikkei 225 (33.33% weight)
|
| Amount: | $23.5 million
|
| Maturity: | March 31, 2010
|
| Coupon: | 0%
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| Price: | Par of $10.00
|
| Payout at maturity: | Par plus 119.6% of any basket gain; par if basket remains flat or falls by no more than 20%; 1% loss for each 1% decline beyond 20%
|
| Initial index levels: | 1,436.11 for S&P 500; 4,191.58 for Euro Stoxx; 17,480.61 for Nikkei
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| Pricing date: | March 23
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| Settlement date: | March 30
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| Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
|
| Underwriting discount: | 3%
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