By Laura Lutz
Des Moines, Dec. 21 - Lehman Brothers Holdings Inc. priced $1.69 million of foreign-exchange basket-linked notes due Dec. 28, 2009 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the euro with a 57.6% weight, Japanese yen with a 13.6% weight, British pound with an 11.9% weight, Canadian dollar with a 9.1% weight, Swedish krona with a 4.2% weight and Swiss franc with a 3.6% weight, all against the U.S. dollar.
The notes allow investors to take a long position in the currencies in the basket versus the dollar, at the same time as a short position in the basket versus the dollar.
If the basket appreciates against the dollar, the payout at maturity will be par plus any gain on the basket. The exact upside amount will be determined at pricing.
If the basket depreciates versus the dollar, investors will receive par plus 50% of the absolute value of any decrease in the basket.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign-exchange basket-linked notes
|
| Underlying basket: | Euro with 57.6% weight, Japanese yen with 13.6% weight, British pound with 11.9% weight, Canadian dollar with 9.1% weight, Swedish krona with 4.2% weight and Swiss franc with 3.6% weight, all against U.S. dollar
|
| Amount: | $1,689,000
|
| Maturity: | Dec. 28, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket gains against dollar, par plus any gain on basket; otherwise, par plus 50% of absolute value of basket decline
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 28
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.25%
|
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