By Jennifer Chiou
New York, Nov. 28 - Lehman Brothers Holdings Inc. priced $2.02 million of 100% principal-protected leveraged foreign exchange basket-linked notes due Nov. 30, 2009 linked to a BRIC leveraged appreciation basket, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of equal 25% positive weighting long positions in the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi versus a 100% negative weighting short position in the dollar.
If the basket value is greater than zero on the valuation date, payout at maturity will be par plus the appreciation of the basket multiplied by the leverage amount, which is 280%. If the basket value is zero or less, investors will receive par.
There will be no interest payments.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Protected leveraged foreign exchange notes
|
| Underlying exchange rate: | Equally weighted basket consisting of long positions in the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi versus 100% negative weighting short position in dollar
|
| Amount: | $2.02 million
|
| Maturity: | Nov. 30, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus appreciation of basket multiplied by 280%, the leverage amount; otherwise par
|
| Initial exchange rates: | 1.8501 for Brazilian real, 24.3242 for Russian Ruble, 39.85 for India rupee, 7.3872 for Chinese renminbi
|
| Pricing date: | Nov. 27
|
| Settlement date: | Nov. 30
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.3%
|
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