Published on 7/2/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman upsizes to $5 million FX digital plus notes linked to currency basket
By Angela McDaniels
Seattle, July 2 - Lehman Brothers Holdings Inc. priced a $500,000 add-on to its issue of zero-coupon 100% principal-protected foreign exchange digital plus notes due June 30, 2008 linked to a basket of four currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The issue initially priced at $3 million on June 21 and was upsized by $1.5 million on June 26. The total amount of notes priced is now $5 million.
The basket includes equal weights of the Brazilian real, the Indian rupee, the Mexican peso and the Turkish lira.
If the basket currencies appreciate relative to the dollar by up to 5.75%, the payout at maturity will be par plus 11.5%. If the basket currencies appreciate relative to the dollar by 5.75% or more, the payout will be par plus double the appreciation.
If the basket currencies remain flat or depreciate relative to the dollar, the payout will be par.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign Exchange digital plus notes
|
| Underlying exchange rates: | Brazilian real, Indian rupee, Mexican peso and Turkish lira, equally weighted
|
| Amount: | $5 million, upsized from $3 million
|
| Maturity: | June 30, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the basket appreciates relative to the dollar by up to 5.75%, par plus 11.5%; if the basket appreciates relative to the dollar by 5.75% or more, par plus double the appreciation; if the basket does not appreciate relative to the dollar, par
|
| Initial exchange rates: | 1.919 reais per dollar, 40.72 rupees per dollar, 10.8376 pesos per dollar, 1.3085 lira per dollar
|
| Pricing date: | June 21 for initial issue, June 29 for add-on
|
| Settlement date: | June 28 for initial issue, July 2 for add-on
|
| Underwriter: | Lehman Brothers Inc.
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