By E. Janene Geiss
Philadelphia, Sept. 14 - Lehman Brothers Holdings Inc. priced a $12.56 million issue of 100% principal-protected three-month range accrual notes due Dec. 20, 2007 linked to the Mexican peso/dollar spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus a fixed return of 2% multiplied by the proportion of days the exchange rate trades within the reference range during the accrual period of Sept. 17 through Dec. 13.
The range's upper boundary is 10.8000 and its lower boundary is 11.1600.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Range accrual notes
|
| Underlying exchange rate: | Mexican peso/dollar spot exchange rate
|
| Amount: | $12.56 million
|
| Maturity: | Dec. 20, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 2% multiplied by the proportion of days the exchange rate trades within the reference range during the accrual period of Sept. 17 through Dec. 13
|
| Initial exchange rate: | 11.0731 dollars per Mexican peso
|
| Upper boundary: | 11.1600
|
| Lower boundary: | 10.8000
|
| Pricing date: | Sept. 13
|
| Settlement date: | Sept. 20
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 0.504%
|
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