By Laura Lutz
Des Moines, Feb. 21 - Lehman Brothers Holdings Inc. priced $1 million of 0% return enhanced notes due Aug. 25, 2010 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 200% of any appreciation in the shares, capped at a maximum return equal to 178% of par.
Otherwise, the payout will be par times the performance of the shares.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Return enhanced notes
|
| Underlying index: | Financial Select Sector SPDR fund
|
| Amount: | $1 million
|
| Maturity: | Aug. 25, 2010
|
| Coupon: | 0%
|
| Price: | If final share price is at least initial price, par plus 200% of any gain in shares, capped at 178% of par; otherwise, par times share performance
|
| Initial level: | $26.79
|
| Pricing date: | Feb. 19
|
| Settlement date: | Feb. 25
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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