By Laura Lutz
Des Moines, Feb. 21 - Lehman Brothers Holdings Inc. priced $1.2 million of 0% foreign exchange 90% principal-protected notes due March 2, 2009 linked to the performance of a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of equal weights of the Chinese renminbi, the Indian rupee, the Russian ruble, the Australian dollar and the New Zealand dollar, all versus the U.S. dollar.
If the final basket level is at least the initial level, the payout at maturity will be par plus 150% of any basket gain.
Otherwise, the payout will be par times the basket performance, subject to a minimum payout equal to 90% of par.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign exchange 90% principal-protected notes
|
| Underlying basket: | Equal weights of Chinese renminbi, Indian rupee, Russian ruble, Australian dollar and New Zealand dollar, all against U.S. dollar
|
| Amount: | $1.2 million
|
| Maturity: | March 2, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket level is at least initial level, par plus 150% of any basket gain; otherwise, par times basket performance; floor of 90% of par
|
| Initial rates: | 7.1503 for renminbi; 40.07 for rupee; 24.5288 for ruble; 0.91815 for Australian dollar; 0.79895 for New Zealand dollar
|
| Pricing date: | Feb. 21
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| Settlement date: | Feb. 28
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2%
|
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