By E. Janene Geiss
Philadelphia, June 22 - Lehman Brothers Holdings Inc. priced a $3 million issue of 100% principal-protected foreign exchange digital plus notes due June 30, 2008 linked to a basket of four currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of equal (25%) long positions in the Brazilian real, Indian rupee, Mexican peso and Turkish lira versus a short position in the dollar.
If the basket value has increased by up to 5.75% on the valuation date, payout at maturity will be par plus 11.50%. If the basket return has increased by 5.75% or more, the payout will be the appreciation of the basket multiplied by the leverage amount, which is 200%. If the basket value is zero or less, investors will receive par.
There will be no interest payments.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign exchange digital plus notes
|
| Underlying exchange rate: | Equally weighted basket consisting of long positions in the Brazilian real, Indian rupee, Mexican peso and Turkish lira versus a short position in dollar
|
| Amount: | $3 million
|
| Maturity: | June 30, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 11.50% if the basket increases up to 5.75%; par plus the basket appreciation multiplied by 200%, the leverage amount if the basket increases beyond 5.75%; otherwise par
|
| Initial exchange rates: | 1.9190 for Brazilian real, 40.72 for Indian rupee, 10.8376 for Mexican peso, 1.3085 for Turkish lira
|
| Pricing date: | June 21
|
| Settlement date: | June 28
|
| Underwriter: | Lehman Brothers Inc.
|
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