By E. Janene Geiss
Philadelphia, May 14 - Lehman Brothers Holdings Inc. priced a $7.56 million issue of 100% principal protection FX notes due May 17, 2010 linked to the performance of a basket of currencies against the dollar, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of equal weights (25%) of the euro, British pound sterling, Canadian dollar and Swiss franc.
The payout at maturity will be par plus 125% 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 sterling, Canadian dollar and Swiss franc
|
| Amount: | $7.56 million
|
| Maturity: | May 17, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 125% of any basket gain; floor of par
|
| Initial rates: | 1.54850 for euro; 1.94635 for pound sterling; 1.00250 for Canadian dollar; 1.05100 for franc
|
| Pricing date: | May 13
|
| Settlement date: | May 16
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.2%
|
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