Published on 6/18/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $3 million FX notes linked to four currencies
By E. Janene Geiss
Philadelphia, June 18 - Lehman Brothers Holdings Inc. priced a $3 million issue of 100% principal-protected foreign exchange notes due Dec. 22, 2008 linked to four currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of equal 25% long positions in the Hong Kong dollar, Indian rupee, Turkish lire and Chinese renminbi, all versus short positions 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 190%. If the basket value is zero or less, investors will receive par plus 4%.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign Exchange notes
|
| Underlying exchange rates: | Equally weighted basket consisting of long positions in the Hong Kong dollar, Indian rupee, Turkish lira and Chinese renminbi, all versus short positions in dollar
|
| Amount: | $3 million
|
| Maturity: | Dec. 22, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus appreciation of basket multiplied by 190%, the leverage amount; otherwise par plus 4%
|
| Initial exchange rates: | 7.8190 for Hong Kong dollar, 40.90 for Indian rupee, 1.3235 for Turkish lira, 7.6260 for Chinese renminbi
|
| Pricing date: | June 15
|
| Settlement date: | June 21
|
| Underwriter: | Lehman Brothers Inc.
|
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