Published on 3/12/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $4.58 million 0% buffered return enhanced notes linked to Nikkei 225
By Jennifer Chiou
New York, March 12 - Lehman Brothers Holdings Inc. priced $4.58 million of 0% buffered return enhanced notes due Sept. 14, 2008 linked to the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any positive return on the index, up to a maximum return of 29%. Investors will receive par if the index declines by 10% or less and will lose 1.1111% for each 1% decline beyond 10%.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Buffered return enhanced notes
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Underlying index: | Nikkei 225
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Amount: | $4.58 million
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Maturity: | Sept. 14, 2008
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus double any positive return on the index, capped at 29%; par if the index declines by 10% or less; investors will lose 1.1111% for each 1% decline beyond 10%
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Pricing date: | March 9
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Settlement date: | March 14
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Underwriter: | Lehman Brothers Inc.
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Underwriting discount: | 1%
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