By Susanna Moon
Chicago, Feb. 1 - Lehman Brothers Holdings Inc. priced $2 million 0% return enhanced notes due Feb. 1, 2011 with contingent protection linked to the Financial Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 137.5% of any gain on the fund shares.
If the fund shares close below the initial price, investors will share in any losses.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Return enhanced notes
|
| Underlying index fund: | Financial Select Sector SPDR
|
| Amount: | $2 million
|
| Maturity: | Feb. 1, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 137.5% of any gain; investors share in any losses
|
| Initial fund price: | $28.456
|
| Pricing date: | Jan. 30
|
| Settlement date: | Feb. 1
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.25%
|
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