By Jennifer Chiou
New York, July 30 - Lehman Brothers Holdings Inc. priced $17,008,330 of 0% performance securities with partial protection due July 30, 2010 linked to a basket of three indexes, according to an FWP filing with the Securities and Exchange Commission.
UBS Financial Services is the lead agent with Lehman Brothers Inc. as co-agent.
The basket consists of 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 with a 33.33% weight.
The payout at maturity will be par of $10.00 plus any percentage increase in the basket level multiplied by the participation rate of 118.7%.
If the final level is equal to or less than the initial index level, the payout will be par unless the basket level falls by more than 20% during the life of the securities, in which case investors will share in the decline.
| 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: | $17,008,330
|
| Maturity: | July 30, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any basket increase times 118.7%; par unless the index level falls by more than 20% during the life of the securities, in which case investors will share in the index decline
|
| Pricing date: | July 26
|
| Settlement date: | July 31
|
| Agents: | UBS Financial Services (lead), Lehman Brothers Inc. (co-agent)
|
| Fees: | 2.5%
|
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