By E. Janene Geiss
Philadelphia, May 8 - Lehman Brothers Holdings Inc. priced a $4 million issue of 100% principal-protected bullish BRL digital foreign exchange notes due Aug. 10, 2008 linked to the Brazilian real/dollar spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.
Payout at maturity will be par plus 2.6% if the Brazilian real/dollar spot exchange rate finishes below the reference level. The reference level is 2.0159, 0.015 lower than the initial exchange rate of 2.0309. The 2.6% payout is equivalent to an annual rate of 10.4%.
If the real/dollar spot exchange rate finishes above the reference range, payout at maturity will be par.
There will be no interest payments.
Lehman Brothers Inc. will be the underwriter for the offering.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Bullish BRL digital foreign exchange notes
|
| Underlying exchange rate: | Brazilian real/dollar spot exchange rate
|
| Amount: | $4 million
|
| Maturity: | Aug. 10, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 2.6% if the spot exchange rate finishes below the reference level of 2.0159; otherwise par
|
| Initial exchange rate: | 2.0309
|
| Reference level: | 2.0159
|
| Pricing date: | May 4
|
| Settlement date: | May 10
|
| Underwriter: | Lehman Brothers Inc.
|
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