Lehman to price principal-protected notes linked to basket of four indexes, currencies

By Jennifer Chiou

New York, May 25 - Lehman Brothers Holdings Inc. plans to price 100% principal-protected notes due June 2010 linked to a basket of currencies and indexes, according to an FWP filing with the Securities and Exchange Commission.

The equity index component of the basket includes the Dow Jones Euro Stoxx 50 with a 35.42% weight, the FTSE 100 with a 33.97% weight, the Nikkei 225 with a 21.42% weight and the S&P/ASX 200 with a 9.19% weight. The currency component of the basket includes the euro with a 35.42% weight, British pound sterling with a 33.97% weight, Japanese yen with a 21.42% weight and Australian dollar with a 9.19% weight, all against the dollar.

The equity index component and currency component are equally weighted.

At maturity, investors will receive par plus any positive return on the basket times a participation rate that will be between 125% and 135%. The participation rate will be set at pricing.

Investors will receive at least par.

The notes will price and settle in June.

Lehman Brothers Inc. is the underwriter.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.