By Jennifer Chiou
New York, April 25 - Lehman Brothers Holdings Inc. priced $2 million of 0% foreign exchange 100% principal-protected notes due Oct. 28, 2009 linked to the performance of a long position in the dollar versus a basket of currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of equal weights of the euro, British pound, Canadian dollar and Swiss franc.
The payout at maturity will be par plus 105% of any gain in the basket. Investors will receive at least par.
Lehman Brothers Inc. will be the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign exchange 100% principal-protected notes
|
| Underlying basket: | Equal weights of the euro, British pound, Canadian dollar and Swiss franc
|
| Amount: | $2 million
|
| Maturity: | Oct. 28, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 105% of any basket gain; floor of par
|
| Initial rates: | 1.5943 for euro; 1.9825 for pound; 1.0198 for Canadian dollar; 1.0093 for franc
|
| Pricing date: | April 23
|
| Settlement date: | April 28
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 0.522%
|
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