Lehman to price 0% notes linked to rupee, S&P CNX Nifty index

By Angela McDaniels

Seattle, Oct. 2 - Lehman Brothers Holdings Inc. plans to price two-year zero-coupon notes linked to a basket consisting of the S&P CNX Nifty index and the dollar/Indian rupee exchange rate, according to an FWP filing with the Securities and Exchange Commission.

The index carries a 60% weight in the basket, and the exchange rate carries a 40% weight.

The payout at maturity will be par of $10,000 plus any basket increase multiplied by the participation rate, which is expected to be 100% to 110% and will be determined at pricing.

Investors will receive par if the basket decreases by 15% or less and will lose 1% for each 1% decline beyond 15%.

Lehman Brothers Inc. will be the underwriter.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.