By Susanna Moon
Chicago, Jan. 11 - Lehman Brothers Holdings Inc. priced $4.73 million of 0% buffered return enhanced notes due Jan. 14, 2010 linked to the Amex Gold BUGS index, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any gain on the index, capped at 66%.
If the index falls by up to 10%, the payout will be par. Beyond a 10% drop, investors will lose 1.11111% for each 1% decline.
Lehman Brothers Inc. is the underwriter.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Buffered return enhanced notes
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Underlying index: | Amex Gold BUGS
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Amount: | $4.73 million
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Maturity: | Jan. 14, 2010
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus double any gain on the index, capped at 66%; par if index falls by up to 10%; lose 1.11111% for each 1% decline beyond 10%
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Initial index level: | 458.46
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Pricing date: | Jan. 9
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Settlement date: | Jan. 14
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Underwriter: | Lehman Brothers Inc.
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Fees: | 1.25%
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