Published on 4/22/2008 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $12.68 million return optimization securities linked to five indexes via UBS
By Laura Lutz
Des Moines, April 22 - Lehman Brothers Holdings Inc. priced $12.68 million of 0% return optimization securities with partial protection due May 21, 2009 linked to a basket of five indexes, according to a 424B2 filing with the Securities and Exchange Commission.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
The basket consists of the S&P 500 index with a 30% weight, the MSCI Emerging Markets index with a 30% weight, the Nasdaq 100 index with a 20% weight, the Dow Jones Euro Stoxx 50 index with a 10% weight and the MSCI United Kingdom index with a 10% weight.
If the final basket level is at least the initial level, the payout at maturity will be par plus 200% of any gain on the index, capped at a payout equal to 114.83% of par.
If the index declines by up to 10%, the payout at maturity will be par. Investors will lose 1% for each 1% that the index declines beyond 10%.
| Issuer: | Lehman Brothers Holdings Inc.
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| Issue: | Return optimization securities with partial protection
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| Underlying indexes: | S&P 500 index (30% weight), MSCI Emerging Markets index (30% weight), Nasdaq 100 index (20% weight), Dow Jones Euro Stoxx 50 index (10% weight) and MSCI United Kingdom index (10% weight)
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| Amount: | $12.68 million
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| Maturity: | May 21, 2009
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final index level is at least initial level, par plus 200% of any index gain, capped at payout of 114.83% of par; par if index declines by up to 10%; investors lose 1% for each 1% that index declines beyond 10%
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| Initial levels: | 1,390.33 for S&P 500; 1,175.85 for MSCI Emerging Markets; 1,900.28 for Nasdaq 100; 3,808.59 for Euro Stoxx 50; 1,802.14 for MSCI United Kingdom
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| Pricing date: | April 18
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| Settlement date: | April 23
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| Underwriters: | UBS Financial Services Inc.; Lehman Brothers Inc.
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| Fees: | 1.25%
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