Published on 11/26/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman Brothers prices $5.34 million performance securities linked to index basket
By Laura Lutz
Des Moines, Nov. 26 - Lehman Brothers Holdings Inc. priced a $5.34 million issue of 0% performance securities with partial protection due May 26, 2011 linked to an index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 35% weight, the Russell 2000 index with a 20% weight, the Dow Jones Euro Stoxx 50 index with a 15% weight, the FTSE 100 index with a 10% weight, the Nikkei 225 index with a 10% weight, the MSCI Emerging Markets index with a 5% weight, the Swiss Market index with a 2.5% weight and the S&P/ASX 200 index with a 2.5% weight.
If the final basket level is greater than or equal to the initial level, the payout at maturity will be par plus 119.5% of the return on the basket.
If the basket declines by up to 10%, the payout will be par. Investors will lose 1% for each 1% that the basket declines beyond 10%.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Performance securities with partial protection
|
| Amount: | $5,339,000
|
| Underlying indexes: | S&P 500 (35% weight), Russell 2000 (20% weight), Dow Jones Euro Stoxx 50 (15% weight), FTSE 100 (10% weight), Nikkei 225 (10% weight), MSCI Emerging Markets (5% weight), Swiss Market (2.5% weight) and S&P/ASX 200 (2.5% weight)
|
| Maturity: | May 26, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket level is at least initial level, par plus 119.5% of return on basket; par if basket loses up to 10%; share in losses beyond 10%
|
| Pricing date: | Nov. 20
|
| Settlement date: | Nov. 26
|
| Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
|
| Fees: | 2.5%
|
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