Published on 3/25/2008 in the Prospect News Structured Products Daily.
New Issue: Lehman upsizes buffered return enhanced notes linked to commodity basket to $1.82 million
By Angela McDaniels
Tacoma, Wash., March 25 - Lehman Brothers Holdings Inc. priced an additional $20,000 of 0% buffered return enhanced notes due March 28, 2012 linked to a basket of 10 commodities and two commodity indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The total amount of notes priced is now $1.82 million. Both tranches priced at par on March 20.
The basket includes the S&P GSCI Agriculture Index Excess Return with a 20% weight; light sweet crude oil with a 15% weight; the S&P GSCI Livestock Index Excess Return and Henry Hub natural gas, each with a 10% weight; high grade primary aluminum and copper - grade A, each with a 7% weight; primary nickel with a 6% weight; and reformulated gasoline blendstock for oxygen blending, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, each with a 5% weight.
The payout at maturity will be par plus 167% of any basket gain. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% decline beyond 20%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | S&P GSCI Agriculture Index Excess Return (20% weight), light sweet crude oil (15% weight), S&P GSCI Livestock Index Excess Return (10% weight), Henry Hub natural gas (10% weight), high grade primary aluminum (7% weight), copper - grade A (7% weight), primary nickel (6% weight), reformulated gasoline blendstock for oxygen blending (5% weight), No. 2 fuel heating oil (5% weight), special high grade zinc (5% weight), standard lead (5% weight) and gold (5% weight)
|
| Amount: | $1,821,000, upsized from $1,801,000
|
| Maturity: | March 28, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 167% of any basket gain; par if basket falls by 20% or less; 1% loss for each 1% decline beyond 20%
|
| Pricing date: | March 20
|
| Settlement date: | March 28
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 3.75%
|
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