By Jennifer Chiou
New York, May 8 - Lehman Brothers Holdings Inc. priced $0.9 million of zero-coupon buffered principal at risk enhanced participation notes due May 9, 2011 linked to a basket of four indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying indexes include the Dow Jones Euro Stoxx 50 with a 39% weight, the FTSE 100 with a 29% weight, the Nikkei 225 with a 22% weight and the S&P/ASX 200 with a 10% weight.
Payout at maturity will be determined according to the basket performance. Investors will receive par plus 130% of the final basket return if the final basket return is positive.
If the final basket return declines by 20% or less, investors will receive par. Investors will lose 1% for every 1% the index basket declines beyond 20%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered principal at risk enhanced participation notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (39% weight), FTSE 100 (29% weight), Nikkei 225 (22% weight), S&P/ASX 200 (10% weight)
|
| Amount: | $0.9 million
|
| Maturity: | May 9, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 130% of any positive basket return; par if the final basket return declines by 20% or less; investors will lose 1% for every 1% the index basket declines beyond 20%
|
| Pricing date: | May 7
|
| Settlement date: | May 9
|
| Underwriter: | Lehman Brothers Inc.
|
| Underwriting discount: | 2.5%
|
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