Published on 7/23/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $5 million FX notes linked to currency basket
By E. Janene Geiss
Philadelphia, July 23 - Lehman Brothers Holdings Inc. priced a $5 million issue of 100% principal-protected foreign exchange notes due Sept. 26, 2008 linked to a currency basket, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of equal weights (16.67%) of the spot exchange rates against the dollar of the Brazilian real, Hungarian forint, Indian rupee, Indonesian rupiah, Mexican peso and Turkish lira.
If the basket return against the dollar is below or equal to zero, payout at maturity will be par. If the basket increases up to 11.5%, payout will be par plus between 11.5%. If the basket increases 11.5% or more, the payout will be 11.5% plus 150% of the basket return. The exact basket return percentages, payout percentages and leverage amount will be determined at pricing.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign Exchange notes
|
| Underlying exchange rates: | Equal weights (16.67%) of spot exchange rates against dollar of Brazilian real, Hungarian forint, Indian rupee, Indonesia rupiah, Mexican peso and Turkish lira
|
| Amount: | $5 million
|
| Maturity: | Sept. 26, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if the basket return against the dollar is zero or less; if the basket increases by 11.5%, payout will be par plus 11.5%; if the basket increases 11.5% or more, payout will be 11.5% plus 150% of the basket return
|
| Initial exchange rates: | 1.8627 for real, 177.93 for forint, 9058 for rupee, 40.20 for rupiah, 10.7935 for peso, 1.2739 for lira
|
| Pricing date: | July 20
|
| Settlement date: | June 26
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.422%
|
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