Published on 2/27/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $10 million 0% digital notes linked to emerging markets currency basket
By E. Janene Geiss
Philadelphia, Feb. 27 - Lehman Brothers Holdings Inc. priced an issue of EM High Yield Digital Plus Basket II notes due Feb. 28, 2008 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket will include long positions in the Brazilian real with a 30% weight, the Hungarian forint with a 20% weight, the Indonesian rupiah with a 20% weight, the Mexican peso with a 15% weight, the Indian rupee with a 10% weight, and the Turkish lira with a 5% weight, all versus 100% negative weighing short position in the dollar.
If the final basket level is lower than the initial basket level, the payout at maturity will be par.
If the final basket level increases by up to 12%, the trigger percentage, the payout will be par plus 13.3%.
If the final basket level increases by 12% or more, the payout will be par plus 13.3% and 1.5% for each 1% the basket increases beyond the trigger percentage.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | EM High Yield Digital Plus Basket II notes
|
| Underlying currencies: | Long positions in Brazilian real (30% weight), Hungarian forint (20% weight), Indonesian rupiah (20% weight), Mexican peso (15% weight), Indian rupee (10% weight), Turkish lira (5% weight), versus 100% negative weighting short position in dollar
|
| Amount: | $10 million
|
| Maturity: | Feb. 28, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 13.3% if basket increases by up to 12%, the trigger amount; par plus 13.3% and 1.5% for every 1% the basket increases beyond the trigger percentage; otherwise par
|
| Initial exchange rates: | 2.0868 for Brazilian real, 192.13 for Hungarian forint, 9,085 for Indonesian rupiah, 11.0023 for Mexican peso, 44.28 for Indian rupee, 1.3815 for Turkish lira, 1.0000 for dollar
|
| Pricing date: | Feb. 23
|
| Settlement date: | Feb. 28
|
| Underwriter: | Lehman Brothers Inc.
|
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