By E. Janene Geiss
Philadelphia, June 30 - Lehman Brothers Holdings Inc. priced $500,000 0% return enhanced notes due Dec. 30, 2010 linked to the Lehman Brothers Commodity Based Alpha Trading Strategies I (ComBATS I), according to an FWP filing with the Securities and Exchange Commission.
ComBATS I is designed to be a monthly resetting market-neutral alpha strategy that reflects the difference between the monthly returns on a basket consisting of a long position in the Lehman Brothers Commodity Index Pure Beta Excess Returns of 10 single-commodity sub-indexes and a short position in the Lehman Brothers Commodity Index Excess Return single commodity sub-indexes for the same 10 commodities.
The payout at maturity will be par of $50,000 plus 180% of any increase in the strategy value. Investors are fully exposed to any decline on the strategy.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Return-enhanced notes
|
| Underlying asset: | Lehman Brothers Commodity Based Alpha Trading Strategies I (ComBATS I)
|
| Amount: | $500,000
|
| Maturity: | Dec. 30, 2010
|
| Coupon: | 0%
|
| Price: | Par of $50,000
|
| Payout at maturity: | Par plus 180% of any basket gain; full exposure to any decline
|
| Initial strategy value: | 125.1295
|
| Pricing date: | June 27
|
| Settlement date: | June 30
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.8%
|
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