By Jennifer Chiou
New York, Nov. 14 - Lehman Brothers Holdings Inc. priced $6 million of 18-month Foreign Exchange Notes linked to a basket of the currencies of U.S. trading partners, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the spot exchange rate of the following currencies quoted against the dollar: the Canadian dollar with a 20% weight, the Chinese renminbi with a 20% weight, the yen with a 20% weight, the euro with a 15% weight, the Mexican peso with a 15% weight and the Singapore dollar with a 10% weight. The basket also includes the dollar with a negative 100% weight.
The notes mature on May 19, 2008.
If the basket value is greater than zero on the valuation date, payout at maturity will be par plus the product of the basket return multiplied by the leverage amount, which is 150%. If the basket value is less than zero, the payout will be par.
There will be no interest payments.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign Exchange Notes
|
| Underlying basket: | Canadian dollar (20% weight), Chinese renminbi (20% weight), yen (20% weight), euro (15% weight), Mexican peso (15% weight), Singapore dollar (10% weight)
|
| Amount: | $6 million
|
| Maturity: | May 19, 2008
|
| Coupon: | 0%
|
| Payout at maturity: | Par plus the product of the basket return multiplied by the 150% leverage amount if there is a basket gain; floor of par
|
| Pricing date: | Nov. 13
|
| Settlement date: | Nov. 17
|
| Underwriter: | Lehman Brothers Inc.
|
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