By Laura Lutz
Des Moines, March 6 - Lehman Brothers Holdings Inc. priced $2.08 million of 0% buffered return enhanced notes due March 10, 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 145.4% of par.
If the shares decline by up to 20%, the payout will be par. Investors will lose 1.25% for each 1% that the shares decline beyond 20%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying shares: | Financial Select Sector SPDR fund
|
| Amount: | $2,075,000
|
| Maturity: | March 10, 2010
|
| Coupon: | 0%
|
| Price: | If final share price is at least initial price, par plus 200% of any gain in shares, capped at 145.4% of par; par if shares decline by up to 20%; investors lose 1.25% for each 1% that shares decline beyond 20%
|
| Initial level: | $25.14
|
| Pricing date: | March 5
|
| Settlement date: | March 10
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2%
|
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