Published on 2/27/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $1 million 0% enhanced participation notes linked to S&P 500
By Angela McDaniels
Seattle, Feb. 27 - Lehman Brothers Holdings Inc. priced a $1 million issue of 0% buffered principal-at-risk enhanced participation notes due Aug. 28, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 101.5% of any positive return on the index. Investors will receive par if the index declines by 15% or less and will lose 1% for each 1% decline in the index beyond 15%.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered principal-at-risk enhanced participation notes
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| Underlying index: | S&P 500
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| Amount: | $1 million
|
| Maturity: | Aug. 28, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 101.5% of any index gain; par if index declines by 15% or less; 1% loss for each 1% decline beyond 15%
|
| Pricing date: | Feb. 23
|
| Settlement date: | Feb. 28
|
| Underwriter: | Lehman Brothers Inc.
|
| Underwriting discount: | 2%
|
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