Published on 3/1/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman upsizes bearish reverse convertibles linked to oil up to $600,000
By E. Janene Geiss
Philadelphia, March 1 - Lehman Brothers Holdings Inc. upsized to $600,000 its issue of single-barrier synthetic bearish reverse convertible notes due Sept. 10, 2007 linked to the price of light sweet crude oil, according to an FWP filing with the Securities and Exchange Commission.
The issue was upsized from $500,000.
The payout at maturity will be par plus a fixed return of 6.6% as long as crude oil stays below the upper barrier, $86.506, or 140% of the initial price of $61.790, during the life of the notes. If crude oil rises above the barrier, the payout will be par plus the fixed return of 6.6% minus the percentage gain in the price of crude oil.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Single-barrier synthetic bearish reverse convertible notes
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Underlying asset: | Light sweet crude oil
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Amount: | $600,000 (initially $500,000)
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Maturity: | Sept. 10, 2007
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 6.6% if crude oil stays below the upper barrier of $86.506; if crude oil rises above the upper barrier and ends above the initial price, investors will receive par plus 6.6% minus the gain
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Initial crude oil price: | $61.790
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Barrier price: | $86.506, 140% of initial price
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Pricing date: | Feb. 28
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Settlement date: | March 7
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Underwriter: | Lehman Brothers Inc.
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