By Jennifer Chiou
New York, May 30 - Lehman Brothers Holdings Inc. priced $3.125 million of 0% buffered return participation notes due June 1, 2010 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket will include the Dow Jones Euro Stoxx 50 index with a 33.927% weight, the FTSE 100 index with a 33.836% weight, the Nikkei 225 index with a 22.627% weight and the S&P/ASX 200 index with a 9.610% weight.
The payout at maturity will be par plus any positive return on the basket multiplied by a participation rate of 119%. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% that the index drops beyond 20%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return participation notes
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| Underlying indexes: | Dow Jones Euro Stoxx 50 (33.927% weight), FTSE 100 (33.836% weight), Nikkei 225 (22.627% weight), S&P/ASX 200 (9.610% weight)
|
| Amount: | $3.125 million
|
| Maturity: | June 1, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 119% 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 25
|
| Settlement date: | May 31
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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