Published on 6/25/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman Brothers prices $1.051 million non-principal-protected notes linked to four base metals
By Jennifer Chiou
New York, June 25 - Lehman Brothers Holdings Inc. priced $1.051 million of zero-coupon non-principal-protected notes due June 29, 2010 linked to a basket of base metals, according to an FWP filing with the Securities and Exchange Commission.
The basket includes equal weights of grade A copper, primary nickel, high grade primary aluminum and special high grade zinc.
At maturity, investors will receive par plus any positive return on the basket if the basket return is greater than 50%. Investors will receive par plus 50% if the basket return is better than a loss of 25%, but less than or equal to 50%. Investors will receive par if the basket loses up to 25% and will lose 1% for each 1% loss beyond 25%.
Lehman Brothers Inc. is the underwriter.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Non-principal-protected notes
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Underlying assets: | Equal weights of grade A copper, primary nickel, high grade primary aluminum and special high grade zinc
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Amount: | $1.051 million
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Maturity: | June 29, 2010
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus any positive return if the basket return is greater than 50%; par plus 50% if the basket return is better than a loss of 25%, but less than or equal to 50%; par if the basket loses up to 25%; investors share in losses beyond 25%
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Initial strike prices: | Grade A copper at $7,510, primary nickel at $37,605, high grade primary aluminum at $2,659.50 and special high grade zinc at $3,525
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Pricing date: | June 22
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Settlement date: | June 29
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Underwriter: | Lehman Brothers Inc.
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Fees: | 2%
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