By Laura Lutz
Des Moines, Jan. 29 - Lehman Brothers Holdings Inc. priced $875,000 of bull-bear foreign-exchange basket-linked notes due Jan. 31, 2011 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of equal weights (20%) the Brazilian real, Russian ruble, Indian rupee, Chinese yuan and South Korean won, all against the dollar.
The notes allow investors to take a long position in the currencies in the basket versus the dollar, at the same time as a short position in the basket versus the dollar.
If the basket appreciates against the dollar, the payout at maturity will be par plus 100% of any gain on the basket.
If the basket depreciates versus the dollar, investors will receive par plus 60% of the absolute value of any decrease in the basket.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Bull-bear foreign-exchange basket-linked notes
|
| Underlying basket: | Equal weights (20%) of Brazilian real, Russian ruble, Indian rupee, Chinese yuan and South Korean won, all against dollar
|
| Amount: | $875,000
|
| Maturity: | Jan. 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket gains against dollar, par plus 100% of any gain on basket; otherwise, par plus 60% of absolute value of basket decline
|
| Pricing date: | Jan. 28
|
| Settlement date: | Jan. 31
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.5%
|
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