Lehman plans to price bull-bear FX notes linked to Brick currency basket

By Susanna Moon

Chicago, Feb. 1 - Lehman Brothers Holdings Inc. plans to price foreign-exchange basket-linked notes due Feb. 28, 2011 linked to a basket of Brick currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (20%) of the Brazilian real, Russian ruble, Indian rupee, Chinese renminbi and South Korean won.

If the basket appreciates against the dollar, the payout at maturity will be par plus at least 100% of any gain on the basket.

If the basket falls against the dollar, investors will receive par plus at least 60% of the absolute value of any drop in the basket. The exact upside and downside leverage will be set at pricing.

The notes are expected to price Feb. 26 and settle on Feb. 29.

Lehman Brothers Inc. is the underwriter.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.