By Angela McDaniels
Tacoma, Wash., May 6 - Lehman Brothers Holdings Inc. priced $3.2 million of 0% buffered return enhanced notes due May 7, 2010 linked to shares of the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 200% of any increase in the exchange-traded fund's share price, subject to a maximum return of 34%. Investors will receive par if the shares decline by 10% or less and will lose 1.11111% for every 1% decline beyond 10%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying ETF: | iShares MSCI EAFE index fund
|
| Amount: | $3.2 million
|
| Maturity: | May 7, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any share price gain, capped at maximum payout equal to 134% of par; par if share price declines by 10% or less; 1.11111% loss for each 1% decline beyond 10%
|
| Initial share price: | $76.48
|
| Pricing date: | May 2
|
| Settlement date: | May 7
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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