Published on 8/7/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $10.54 million notes linked to Dow Jones - AIG Commodity index
By E. Janene Geiss
Philadelphia, Aug. 7 ? Lehman Brothers Holdings Inc. priced $10.54 million of medium-term notes due Aug. 13, 2009 linked to the Dow Jones - AIG Commodity Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.
If the final index level is more than the upper threshold level, payout will be 150% of par. If the final level is greater than the initial level, but less than the upper threshold, payout will be par plus the index return multiplied by a participation rate of 245%. If the final level declines by 10% or less, the payout will be par. For declines beyond 10%, investors receive par less the index decline plus 10%.
The upper threshold is 120.408% of the initial level.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Medium-term notes
|
| Underlying indexes: | Dow Jones - AIG Commodity Index Excess Return
|
| Amount: | $10.54 million
|
| Maturity: | Aug. 13, 2009
|
| Price: | Par
|
| Payout at maturity: | If the final index level is more than the upper threshold level, payout will be 150% of par. If the final level is greater than the initial level, but less than the upper threshold, payout will be par plus the index return multiplied by a participation rate of 245%. If the final level declines by 10% or less, the payout will be par. For declines beyond 10%, investors receive par less the index decline plus 10%.
|
| Initial index level: | 167.516
|
| Upper threshold: | 201.7027, 120.408% of initial level
|
| Buffer level: | 150.7644, 90% of the initial level
|
| Pricing date: | Aug. 6
|
| Settlement date: | Aug. 13
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.75%
|
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