By E. Janene Geiss
Philadelphia, Feb. 20 - Lehman Brothers Holdings Inc. priced a $1.5 million issue of 100% principal-protected foreign exchange basket-linked notes due Feb. 23, 2010 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 450%. 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: | 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: | $1.5 million
|
| Maturity: | Feb. 23, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus appreciation of basket multiplied by 450%, the leverage amount; otherwise par
|
| Initial exchange rates: | 2.0913 for Brazilian real, 26.23 for Russian Ruble, 44.09 for India rupee, 7.7408 for Chinese renminbi
|
| Pricing date: | Feb. 16
|
| Settlement date: | Feb. 23
|
| Underwriter: | Lehman Brothers Inc.
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