By E. Janene Geiss
Philadelphia, Feb. 11 - Lehman Brothers Holdings Inc. priced $6 million 0% return enhanced notes due Feb. 14, 2011 linked to the MarQCuS Portfolio A Index, according to an FWP filing with the Securities and Exchange Commission.
The index is an equally weighted, monthly rebalanced portfolio of the six Lehman Brothers MarQCuS Indexes, which are rules-based foreign-exchange trading indexes.
The payout at maturity will be par plus triple any gain on the index.
If the final index level is zero or declines, 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: | MarQCuS Portfolio A Index
|
| Amount: | $6 million
|
| Maturity: | Feb. 14, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus triple any gain; investors share in any losses
|
| Initial index level: | 193.82
|
| Pricing date: | Feb. 8
|
| Settlement date: | Feb. 14
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.8%
|
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