Published on 12/31/2008 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $527,000 24.25% reverse exchangeables linked to basket of financial stocks
By Angela McDaniels
Tacoma, Wash., Dec. 27 - Lehman Brothers Holdings Inc. priced $527,000 of reverse exchangeable notes due March 31, 2008 linked to a basket of financial stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The three-month months pay 6.0625% for an annualized rate of 24.25%. Interest is payable monthly.
The basket includes the common stocks of Morgan Stanley, Bank of America Corp., JPMorgan Chase & Co., the Goldman Sachs Group, Inc. and Merrill Lynch & Co., Inc.
If any stock in the basket falls below its trigger price - 70% of its initial share price - during the life of the notes and any stock in the basket finishes below its initial price, the payout at maturity will be a number of shares of the worst-performing stock equal to par divided by that stock's initial price or, at Lehman's option, the equivalent cash value.
Otherwise, the payout will be par.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Reverse exchangeable notes
|
| Underlying stocks: | Morgan Stanley (NYSE: MS), Bank of America Corp. (NYSE: BAC), JPMorgan Chase & Co. (NYSE: JPM), the Goldman Sachs Group, Inc. (NYSE: GS) and Merrill Lynch & Co., Inc. (NYSE: MER)
|
| Amount: | $527,000
|
| Maturity: | March 31, 2008
|
| Coupon: | 24.25%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If any stock falls below its trigger price during the life of the notes and any stock finishes below its initial price, a number of the worst-performing shares equal to par divided by that stock's initial price or, at Lehman's option, the equivalent cash value; otherwise, par
|
| Initial share prices: | $54.37 for Morgan Stanley, $41.92 for Bank of America, $44.11 for JPMorgan, $209.60 for Goldman Sachs, $55.54 for Merrill Lynch
|
| Trigger prices: | $38.059 for Morgan Stanley, $29.344 for Bank of America, $30.877 for JPMorgan, $146.72 for Goldman Sachs, $38.878 for Merrill Lynch; 70% of initial share price
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 31
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| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.2%
|
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