By E. Janene Geiss
Philadelphia, Dec. 24 - Lehman Brothers Holdings Inc. priced a $555,000 offering of zero-coupon principal-protected leveraged appreciation notes due Dec. 28, 2009 linked to a basket of the BRIC currencies, according to an FWP filing with the Securities and Exchange Commission.
The equally weighted basket consists of long positions in the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi, all versus a short position in the dollar.
If the basket has appreciated relative to the dollar, the payout at maturity will be par plus 175% of the appreciation.
If the basket has depreciated relative to the dollar, the payout will be par.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Principal-protected appreciation notes
|
| Underlying basket: | Equal weights of the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi, all versus the dollar
|
| Amount: | $555,000
|
| Maturity: | Dec. 28, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 175% of any appreciation in the basket versus the dollar; floor of par
|
| Initial exchange rates: | 1.7966 for real; 24.7313 for ruble; 39.57 for rupee; 7.3572 for renminbi
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 28
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.25%
|
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