Published on 5/21/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $4.21 million 0% notes linked to 10 commodities, two indexes
By E. Janene Geiss
Philadelphia, May 21 - Lehman Brothers Holdings Inc. priced $4.21 million of 0% buffered return enhanced notes due Nov. 24, 2010 linked to a basket of 10 commodities and two indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket will include the GSCI Agriculture Excess Return index with a 20% weight, the GSCI Livestock Excess Return index with a 10% weight, light sweet crude oil with a 15% weight, Henry Hub natural gas with a 10% weight, high grade primary aluminum with a 7% weight, grade A copper with a 7% weight, primary nickel with a 6% weight and RBOB gasoline, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, each with a 5% weight.
The payout at maturity will be par plus a participation rate of 187% of any positive return on the basket. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% decline beyond 20%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
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| Underlying index, commodities: | GSCI Agriculture Excess Return index (20% weight), the GSCI Livestock Excess Return index (10% weight), light sweet crude oil (15% weight), Henry Hub natural gas (10% weight), high grade primary aluminum (7% weight), grade A copper (7% weight), primary nickel (6% weight) and RBOB gasoline, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, (each with 5% weight).
|
| Amount: | $4.21 million
|
| Maturity: | Nov. 24, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 187% of any positive return on the basket; par if the basket declines by 20% or less; investors will lose 1% for each 1% decline beyond 20%
|
| Initial price: | Crude oil ($64.86), natural gas ($8.075), RBOB gasoline ($2.4366), heating oil ($1.9292), aluminum ($2,760.5), copper ($7,455), nickel ($52,490), zinc ($3,670), lead ($2,0050), gold ($656.75), GSCI Livestock (378.3157), GSCI Agriculture (60.9566)
|
| Pricing date: | May 17
|
| Settlement date: | May 24
|
| Underwriter: | Lehman Brothers Inc.
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