Lehman to issue 0% notes linked to basket of currencies

By Angela McDaniels

Seattle, Jan. 16 - Lehman Brothers Holdings Inc. plans to price an issue of one-year 0% notes linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include the Brazilian real with a 30% weight, the Hungarian forint with a 20% weight, the Indonesian rupiah with a 20% weight, the Mexican peso with a 15% weight, the Indian rupee with a 10% weight, the Turkish lira with a 5% weight and the dollar with a negative 100% weight.

If the final basket level is greater than or equal to 100% and less than 112% of the initial basket level, the payout at maturity will be par plus 12%. If the final basket level is greater than 112% of the initial basket level, the payout will be par plus 12% plus 150% of the gain beyond 12%.

If the final basket level is less than 100% of the initial basket level, the payout will be par.

Lehman Brothers Inc. will be the underwriter.

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