By Laura Lutz
Des Moines, Jan. 30 - Lehman Brothers Holdings Inc. priced $7.17 million of return enhanced notes with contingent protection due Jan. 31, 2011 linked to the shares of the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the final share price is at least the initial price, the payout at maturity will be par plus 132% of any gain on the shares.
If the shares close below the trigger level - 75% of the initial level - during the life of the notes and finish below their initial level, the payout will be par times the performance of the shares.
If the shares close below the initial level but no such trigger event has occurred, the payout will be par.
Lehman Brothers Inc. is the underwriter.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Return enhanced notes with contingent protection
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Underlying shares: | Financial Select Sector SPDR fund
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Amount: | $7,165,000
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Maturity: | Jan. 31, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final share price is above initial price, par plus 132% of any gain on the shares; par times share performance if shares close below trigger level during life of notes and finish below initial level; par if shares never close below trigger level during life of notes and finish below initial level
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Initial level: | $28.15
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Trigger level: | 75% of initial level
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Pricing date: | Jan. 28
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Settlement date: | Jan. 31
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Underwriter: | Lehman Brothers Inc.
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Fees: | 1.5%
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