By Jennifer Chiou
New York, Aug. 2 - Lehman Brothers Holdings Inc. priced a $1.2 million issue of 0% absolute buffer notes due Aug. 3, 2010 linked to a basket of four indexes, according to a 424B5 filing with the Securities and Exchange Commission.
The underlying indexes include the Dow Jones Euro Stoxx 50 with a 33.3% weight, the FTSE 100 with a 30.5% weight, the Nikkei 225 index with a 27.1% weight and the S&P/ASX 200 index with a 9.1% weight.
Payout at maturity will be determined according to the basket performance on July 29, 2010, the valuation date. Investors will receive par plus the final basket return multiplied by the upside participation rate of 157% if the final basket return is positive.
If the final basket return is negative and the final basket level is greater than or equal to the threshold level of 80%, investors will receive par plus the absolute value of the final basket return.
If the final basket return is negative and the final basket level is less than the threshold level, investors will share in the losses.
| Issuer: | Lehman Brothers Holdings Inc.
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| Issue: | Absolute buffer notes
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| Underlying indexes: | Dow Jones Euro Stoxx 50 (33.3% weight), FTSE 100 (30.5% weight), Nikkei 225 (27.1% weight), S&P/ASX 200 (9.1% weight)
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| Amount: | $1.2 million
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| Greenshoe: | $0.18 million
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| Maturity: | Aug. 3, 2010
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 157% of any positive basket return; if the final basket return is negative and the final basket level is greater than or equal to the threshold level of 80%, par plus the absolute value of the final basket return; if the final basket return is negative and the final basket level is less than the threshold level, investors will share in the losses
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Underwriter: | Lehman Brothers
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