Lehman to price 0% FX notes linked to international currency basket

By E. Janene Geiss

Philadelphia, June 20 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon principal-protected, three-year foreign exchange notes linked to a basket of international currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include the euro with a 50% weight, Japanese yen with a 35% weight, Chinese renminbi with a 5% weight, Brazilian real with a 4% weight, Russian ruble with a 4% weight and Indian rupee with a 2% weight, all versus 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 will be determined at pricing and expected to be 210%. If the basket value is less than zero, investors will receive par.

Lehman Brothers Inc. will be 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.