Published on 11/7/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $3 million FX notes linked to best of three currency baskets
By E. Janene Geiss
Philadelphia, Nov. 7 - Lehman Brothers Holdings Inc. priced a $3 million issue of zero-coupon principal-protected foreign exchange notes due Nov. 13, 2009 linked to the best of three baskets of currencies, according to an FWP filing with the Securities and Exchange Commission.
At maturity, investors will receive par plus 145% of the greatest of three basket returns. If none of the baskets appreciates against the dollar, investors will receive par.
The first basket includes the Brazilian real with a 33.34% weight, the Argentine peso with a 33.33% weight and the Mexican peso with a 33.33% weight, all versus the dollar.
The second basket includes equal weights (25%) of the Israeli shekel, Hungarian forint, Turkish lira and the Russian ruble, all versus the dollar.
The third basket includes equal weights (25%) of the Indonesian rupiah, Indian rupee, Malaysian ringgit and the Singapore dollar, all versus the dollar.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign Exchange notes
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| Underlying baskets: | First basket includes Brazilian real (33.34% weight), Mexican peso and Argentine peso (33.33% weight); Second basket includes equal weights (25%) of Israeli shekel, Hungarian forint, Turkish lira and Russian ruble; Third basket includes equal weights (25%) of Indonesia rupiah, Indian rupee, Malaysian ringgit and Singapore dollar
|
| Amount: | $3 million
|
| Maturity: | Nov. 13, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 145% of the greatest of the three basket returns; floor of par
|
| Initial exchange rates: | First basket: 1.7325 for real, 10.6639 for Mexican peso, 3.1335 for Argentine peso; Second basket: 1.1727 for lira, 173.38 for forint, 3.9350 for shekel, 24.6209 for ruble; Third basket: 9179 for rupiah, 39.29 for rupee, 1.4513 for Singapore dollar, 3.3544 for ringgit
|
| Pricing date: | Nov. 6
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| Settlement date: | Nov. 13
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| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.2%
|
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