By Susanna Moon
Chicago, June 4 - Lehman Brothers Holdings priced $1.32 million of 0% partial protection participation notes due June 5, 2010 linked to a basket of index funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the SPDR Trust, series 1, with a 45% weight, the iShares MSCI EAFE index fund with a 40% weight and the iShares Russell 2000 index fund with a 15% weight.
Payout at maturity will be par plus any basket gain times a participation rate of 100% to 110%. The exact rate will be set at pricing.
Investors will receive par if the basket falls by up to 10% and will lose 1% for every 1% decline beyond 10%.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Partial protection participation notes
|
| Underlying securities: | SPDR Trust, series 1 (45% weight), iShares MSCI EAFE index fund (40% weight) and iShares Russell 2000 index fund (15% weight)
|
| Amount: | $1.32 million
|
| Maturity: | June 5, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any basket gain times 100% to 110%; par for losses of up to 10% and 1% loss for each 1% decline beyond 10%
|
| Initial fund prices: | $138.90 for SPDR Trust, $75.91 for EAFE and $73.99 for Russell 2000
|
| Pricing date: | June 2
|
| Settlement date: | June 5
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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