Published on 7/30/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $7.775 million protected notes linked to basket of indexes, currencies
By Jennifer Chiou
New York, July 30 - Lehman Brothers Holdings Inc. priced $7.775 million of zero-coupon principal-protected notes due July 31, 2010 linked to a basket of currencies and indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The equity index component of the basket includes the Dow Jones Euro Stoxx 50 with a 35.42% weight, the FTSE 100 with a 33.97% weight, the Nikkei 225 with a 21.42% weight and the S&P/ASX 200 with a 9.19% weight. The currency component of the basket includes the euro with a 35.42% weight, the British pound sterling with a 33.97% weight, the Japanese yen with a 21.42% weight and the Australian dollar with a 9.19% weight, all against the dollar.
The equity index component and the currency component are equally weighted.
At maturity, investors will receive par plus any positive return on the basket times a participation rate of 135%. Investors will receive at least par.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | 100% principal-protected notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (35.42% weight), FTSE 100 (33.97% weight), Nikkei 225 (21.42% weight), S&P/ASX 200 (9.19% weight)
|
| Underlying currencies: | Euro (35.42% weight), British pound sterling (33.97% weight), Japanese yen (21.42% weight), Australian dollar (9.19% weight)
|
| Amount: | $7.775 million
|
| Maturity: | July 31, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 135% of any positive basket return; floor of par
|
| Initial index levels: | Dow Jones Euro Stoxx 50 at 4,252.92, FTSE 100 at 6,251.20, Nikkei 225 at 17,702.09, S&P/ASX 200 at 6,248.50
|
| Initial currency levels: | 1.3725 dollars per euro, 2.0472 dollars per pound, 0.008377 of a dollar per yen, 0.878 of a dollar per Australian dollar
|
| Pricing date: | July 26
|
| Settlement date: | July 31
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2%
|
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