Published on 12/13/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman Brothers prices $1.46 million absolute return barrier notes linked to S&P 500
By Jennifer Chiou
New York, Dec. 13 - Lehman Brothers Holdings Inc. priced a $1.46 million issue of zero-coupon 100% principal-protected absolute return barrier notes due Sept. 15, 2008 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index ever closes above the upper index barrier or below the lower index barrier, investors will receive par at maturity. The upper and lower index barriers will be 16.4% above and below the initial index level, respectively.
If the index stays within the barriers, the payout at maturity will be par plus the absolute value of the index return.
Lehman Brothers Inc. is the underwriter.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Principal-protected absolute return barrier notes
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Underlying index: | S&P 500
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Amount: | $1,456,000
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Maturity: | Sept. 15, 2008
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus absolute value of any index gain or decline if index remains within the index barriers; otherwise, par
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Initial index level: | 1,477.65
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Upper index barrier: | 1,719.98, or 16.4% above initial index level
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Lower index barrier: | 1,235.32, or 16.4% below initial index level
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Pricing date: | Dec. 11
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Settlement date: | Dec. 14
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Underwriter: | Lehman Brothers Inc.
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Fees: | 0.45%
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