Published on 11/16/2006 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $370,000 additional notes linked to crude oil
By Angela McDaniels
Seattle, Nov. 16 - Lehman Brothers Holdings Inc. priced an additional $370,000 of single-barrier synthetic reverse convertible notes due Nov. 23, 2007 linked to light sweet crude oil, according to a 424B3 filing with the Securities and Exchange Commission.
Lehman priced $1 million of the notes on Wednesday. The total amount of notes sold is now $1.37 million.
The payout at maturity will be par plus a fixed return of 9.05%. If the price of crude oil falls to or below the lower barrier during the life of the notes and finishes below the initial price, a percentage equal to the final decline in the crude oil price will be subtracted from the payout.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Single-barrier synthetic reverse convertible notes
|
| Underlying asset: | Light sweet crude oil
|
| Amount: | $1.37 million (upsized from $1 million)
|
| Maturity: | Nov. 23, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | 109.5% of par; if crude oil drops to or below the lower barrier and ends below the initial price, investors will share in any losses
|
| Initial crude oil price: | $66.47
|
| Protection price: | $49.8525, 75% of initial price
|
| Pricing date: | Nov. 14
|
| Settlement date | Nov. 21
|
| Underwriter: | Lehman Brothers Inc.
|
| Underwriting discount: | None
|
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