By Angela McDaniels
Seattle, Sept. 25 - Lehman Brothers Holdings Inc. priced $1.17 million of zero-coupon buffered return enhanced notes due March 28, 2011 linked to a basket of 10 commodities and two commodity indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket includes light sweet crude oil with a 15% weight; Henry Hub natural gas with a 10% weight; high-grade primary aluminum and copper - grade A, each with a 7% weight; primary nickel with a 6% weight; RBOB gasoline, No. 2 fuel heating oil, special high-grade zinc, standard lead and gold, each with a 5% weight; the S&P GSCI Agriculture Index Excess Return with a 20% weight; and the S&P GSCI Livestock Index Excess Return with a 10% weight.
If the final basket level is greater than the initial basket level, the payout at maturity will be par plus 172% of the basket gain. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% decline beyond 20%.
Lehman Brothers Inc. is the agent.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Light sweet crude oil (15% weight); Henry Hub natural gas (10% weight); high-grade primary aluminum and copper - grade A (7% weight each); primary nickel (6% weight); RBOB gasoline, No. 2 fuel heating oil, special high-grade zinc, standard lead and gold (5% weight each); the S&P GSCI Agriculture Index Excess Return (20% weight); and the S&P GSCI Livestock Index Excess Return (10% weight)
|
| Amount: | $1,165,000
|
| Maturity: | March 28, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 172% of any basket gain; par if basket declines by 20% or less; 1% loss for each 1% decline beyond 20%
|
| Pricing date: | Sept. 21
|
| Settlement date: | Sept. 28
|
| Agent: | Lehman Brothers Inc.
|
| Fees: | 2.25%
|
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