By Angela McDaniels
Tacoma, Wash., Dec. 27 - Lehman Brothers Holdings Inc. priced $8 million of 0% performance securities with partial protection due Dec. 31, 2010 linked to a basket of five indexes and one exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Dow Jones Euro Stoxx 50 and Nikkei 225 indexes, each with a 25% weight; the S&P 500 index with a 20% weight; and the Hang Seng China Enterprises index, MSCI Emerging Markets index and iShares MSCI Brazil index fund, each with a 10% weight.
If the final basket level is greater than the initial basket level, the payout at maturity will be par of $10 plus the basket gain. Investors will receive par if the basket declines by 24.2% or less and will lose 1% for each 1% that the basket declines beyond 24.2%.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
| Issuer: | Lehman Brothers Holdings Inc.
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| Issue: | Performance securities with partial protection
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| Underlying basket: | Dow Jones Euro Stoxx 50 index (25% weight), Nikkei 225 index (25% weight), S&P 500 index (20% weight), Hang Seng China Enterprises index (10% weight), MSCI Emerging Markets index (10% weight), iShares MSCI Brazil index fund (10% weight)
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| Amount: | $8 million
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| Maturity: | Dec. 31, 2010
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Par plus any basket gain; par if basket falls by 24.2% or less; 1% loss for each 1% decline beyond 24.2%
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 31
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| Underwriters: | UBS Financial Services Inc. and Lehman Brothers Inc.
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| Fees: | 1.5%
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