By Laura Lutz
Des Moines, Feb. 22 - Lehman Brothers Holdings Inc. priced $20 million of 0% buffered return enhanced notes due March 1, 2011 linked to the Lehman Brothers Marco Quantitative Currency Trading Strategies Portfolio A index, according to an FWP filing with the Securities and Exchange Commission.
If the final index level is at least the initial level, the payout at maturity will be par plus 260% of any gain on the index.
If the index declines by up to 5%, the payout will be par. Investors will lose 1% for each 1% that the index declines beyond 5%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying index: | Lehman Brothers Marco Quantitative Currency Trading Strategies Portfolio A index
|
| Amount: | $20 million
|
| Maturity: | March 1, 2011
|
| Coupon: | 0%
|
| Price: | If index return is positive, par plus 260% of any index gain, capped at 123% of par; par if index declines by up to 5%; investors lose 1% for each 1% that index declines beyond 5%
|
| Initial level: | 194.43
|
| Pricing date: | Feb. 21
|
| Settlement date: | Feb. 29
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.8%
|
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