Published on 2/4/2008 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $8.65 million principal-protected notes linked to 10 commodities, 2 indexes
By E. Janene Geiss
Philadelphia, Feb. 4 - Lehman Brothers Holdings Inc. priced $8,652,000 of zero-coupon principal-protected notes due Feb. 7, 2012 linked to a basket of 10 commodities and two commodity indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of light sweet crude oil with a 15% weight, Henry Hub natural gas with a 10% weight, RBOB gasoline, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, each with 5% weights, high grade primary aluminum and copper - grade A, both with 7% weights and primary nickel with 6% weight. The basket also includes the S&P GSCI Livestock Index Excess Return with a 10% weight and the S&P GSCI Agriculture Index Excess Return with a 20% weight.
The payout at maturity will be par plus 104% of any gain on the basket. Investors will receive at least par.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Principal-protected notes
|
| Underlying basket: | Light sweet crude oil (15% weight), Henry Hub natural gas (10% weight), RBOB gasoline (5% weight), No. 2 fuel heating oil (5% weight), special high grade zinc (5% weight), standard lead (5% weight) and gold (5% weight), high grade primary aluminum (7% weight), copper - grade A, (7% weight), primary nickel (6% weight), S&P GSCI Livestock Index Excess Return (10% weight) and S&P GSCI Agriculture Index Excess Return (20% weight)
|
| Amount: | $8,652,000
|
| Maturity: | Feb. 7, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 104% of any basket gain; floor of par
|
| Initial prices: | $91.75 for crude oil, $8.0740 for natural gas, $2.3091 for gasoline, $2.5345 for fuel heating oil, $2,392.00 for zinc, $2,741.50 for lead, $923.25 for gold, $2,643.00 for aluminum, $7,170.50 for copper, $27,550.00 for primary nickel, $315.4630 for S&P GSCI Livestock index and $87.7365 for S&P GSCI Agriculture index
|
| Pricing date: | Jan. 31
|
| Settlement date: | Feb. 7
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 3.75%, including selling concessions of 2.75%
|
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