By Jennifer Chiou
New York, June 12 - Lehman Brothers Holdings Inc. priced $5.915 million of 0% buffered return enhanced notes due Sept. 13, 2008 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket will include the Korea Stock Price index 200 with a 31.3% weight, the MSCI Taiwan index with a 24.7% weight, the Amex Hong Kong 30 index with an 18.9% weight, the FTSE/Xinhua China 25 index with a 14.5% weight and the MSCI Singapore Free index with a 10.6% weight.
The payout at maturity will be par plus double any positive return on the basket, capped at 20.7%. Investors will receive par if the basket declines by 10% or less. Investors will lose 1.1111% for each 1% the basket declines beyond 90%.
There is a greenshoe for $0.85 million of additional notes.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Korea Stock Price index 200 (31.3% weight), MSCI Taiwan (24.7% weight), Amex Hong Kong 30 (18.9% weight), FTSE/Xinhua China 25 (14.5% weight), MSCI Singapore Free index (10.6% weight)
|
| Amount: | $5.915 million
|
| Greenshoe: | $0.85 million
|
| Maturity: | Sept. 13, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any positive basket return, capped at 20.7%; par if the final basket return declines by 10% or less; 1.1111% loss for each 1% decline beyond 90%
|
| Pricing date: | June 7
|
| Settlement date: | June 13
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 0.5%
|
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