New Issue: Lehman prices $11.31 million absolute return barrier notes linked to index basket

By Angela McDaniels

Tacoma, Wash., April 3 - Lehman Brothers Holdings Inc. priced $11.31 million of zero-coupon 100% principal protection absolute return barrier notes due Oct. 6, 2009 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 40% weight; the Russell 2000 and MSCI EAFE indexes, each with a 20% weight; and the Dow Jones Euro Stoxx 50 and Nasdaq 100 indexes, each with a 10% weight.

If the basket level remains within 20.66% of its initial level throughout the life of the notes, the payout at maturity will be par of $10 plus the absolute value of the basket return. Otherwise, the payout will be par.

UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	100% principal protection absolute return barrier notes
Underlying indexes:	S&P 500 (40% weight), Russell 2000 (20% weight), MSCI EAFE (20% weight), Dow Jones Euro Stoxx 50 (10% weight) and Nasdaq 100 (10% weight)
Amount:	$11,307,500
Maturity:	Oct. 6, 2009
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the basket remains at or above the lower barrier and at or below the upper barrier throughout the life of the notes, par plus the absolute value of the basket return; otherwise, par
Upper barrier:	120.66% of initial level
Lower barrier:	79.34% of initial level
Pricing date:	April 1
Settlement date:	April 4
Underwriters:	UBS Financial Services Inc. and Lehman Brothers Inc.
Fees:	1.75%

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.