By E. Janene Geiss
Philadelphia, Sept. 28 - Lehman Brothers Holdings Inc. priced a $10 million issue of 0% pyramid notes due Jan.7, 2008 linked to the spot prices of grade A copper and the euro, according to an FWP filing with the Securities and Exchange Commission.
If the final prices for copper and the euro are greater than the upper boundaries, the discount factor for each asset will be the percentage by which the final price exceeds the upper boundary. If the final prices for copper and the euro are lower than the lower boundaries, the discount factor for each asset will be the percentage by which the final price is below the lower boundary. If the final price is between the two boundaries, the discount factor will be zero.
At maturity, the payout will be par times 102.41% minus the discount factors for copper and the euro. Investors will lose part of their investment if the discount factor is greater than 2.41%.
The copper upper and lower boundaries are $9,774.00 and $6,516.00, respectively. The euro upper and lower boundaries are $1.475 and $1.335, respectively.
Lehman Brothers Inc. is the agent.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Pyramid notes
|
| Underlying assets: | Grade A copper, euro
|
| Amount: | $10 million
|
| Maturity: | Jan. 7, 2008
|
| Coupon: | 0%
|
| Price: | Par of $10,000
|
| Payout at maturity: | Par times 102.41% minus the discount factors for copper and the euro; if the final prices for copper and the euro are greater than the upper boundaries, the discount factor for each asset will be the percentage by which the final price exceeds the upper boundary; if the final prices for copper and the euro are lower than the lower boundaries, the discount factor for each asset will be the percentage by which the final price is below the lower boundary; if the final price is between the two boundaries, the discount factor will be zero.
|
| Strike prices: | Copper at $8,145.00; euro at $1.4174
|
| Upper boundaries: | $9,774.00 for copper; $1.475 for euro
|
| Lower boundaries: | $6,516.00 for copper; $1.4174 for euro
|
| Pricing date: | Sept. 27
|
| Settlement date: | Sept. 28
|
| Agent: | Lehman Brothers Inc.
|
| Fees: | 3%
|
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