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Lehman to price 0% buffered return enhanced notes linked to an index basket
By E. Janene Geiss
Philadelphia, Sept.2 6 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due Oct. 3, 2010 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the Dow Jones Euro Stoxx 50 with a 36.80% weight, FTSE 100 with a 31.30% weight, Nikkei 225 with a 22.70% weight and the S&P/ASX 200 with a 9.2% weight.
The payout at maturity will be par plus double any basket gain with a maximum return that will be determined at pricing and expected to be 51% to 55%. Investors will receive par if the basket declines by 10% or less and will lose 1.11111% for each 1% decline beyond 10%.
The notes are expected to price Sept. 28 and settle Oct. 3.
Lehman Brothers Inc. will be the underwriter.
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