New York, July 27 - Lehman Brothers Holdings Inc. priced $4.35 million of 0% absolute buffer notes due 2008 linked to the Euro Stoxx 50 index, according to a 424B5 filing with the Securities and Exchange Commission.
At maturity the notes pay 130% of any gain in the underlying index. If the index loses up to 20%, the notes pay par plus the absolute value of the change in the index. Investors participate fully in losses if the index falls by more than 20%.
There is a greenshoe option for $0.6525 million.
Lehman Brothers was the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
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| Issue: | Absolute buffer senior notes
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| Underlying index: | Euro Stoxx 50
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| Amount: | $4.35 million
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| Greenshoe: | $0.6525 million
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| Maturity: | July 29, 2008
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If index return is positive, par plus 130% of gain in index; if index return is negative but it falls by no more than 20% then par plus absolute amount of return on index; if index falls by more than 20% then full participation in loss
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| Pricing date: | July 26
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| Settlement: | July 29
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| Underwriter: | Lehman Brothers
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| Listing: | "LBN.B" on American Stock Exchange
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