By E. Janene Geiss
Philadelphia, May 1 - Lehman Brothers Holdings Inc. priced $6.85 million of 0% foreign exchange 100% principal-protected notes due May 5, 2010 linked to the performance of a long position in the dollar versus a basket of currencies, according to an FWP 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 120% 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: | $6.85 million
|
| Maturity: | May 5, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 120% of any basket gain; floor of par
|
| Initial rates: | 1.5549 for euro; 1.9805 for pound; 1.0071 for Canadian dollar; 1.0415 for franc
|
| Pricing date: | April 30
|
| Settlement date: | May 5
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.2%
|
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