Published on 11/29/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $292,000 22.6% reverse exchangeables linked to Continental Airlines
By E. Janene Geiss
Philadelphia, Nov. 29 - Lehman Brothers Holdings Inc. priced $292,000 of reverse exchangeable notes due Feb. 29, 2008 linked to the common stock of Continental Airlines, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The three-month notes will pay 5.65% for an annualized rate of 22.6%. Interest is payable monthly.
The payout at maturity will be par unless Continental Airlines shares fall by more than 30% during the life of the notes and the final share price is less than the initial share price, in which case the payout will be a number of Continental Airlines shares equal to $1,000 divided by the initial share price or, at Lehman's option, the equivalent cash value.
Lehman Brothers Inc. is the underwriter.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Reverse exchangeable notes
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Underlying stock: | Continental Airlines, Inc. (Symbol: CAL)
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Amount: | $292,000
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Maturity: | Feb. 29, 2008
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Coupon: | 22.6%, payable monthly
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Price: | Par
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Payout at maturity: | If Continental Airlines shares close below the trigger price during the life of the notes and finish below the initial share price, 37.3972 Continental Airlines shares or equivalent cash value; otherwise, par
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Initial share price: | $26.74
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Trigger price: | $18.718, 70% of initial share price
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Pricing date: | Nov. 27
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Settlement date: | Nov. 30
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Underwriter: | Lehman Brothers Inc.
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Fees: | 1.8%
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