Lehman to price FX notes linked to BRIC currency basket

By Susanna Moon

Chicago, Dec. 4 - Lehman Brothers Holdings Inc. plans to price 0% foreign exchange principal-protected notes due Dec. 28, 2009 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi, relative to the dollar.

Payout at maturity will be par plus any appreciation in the basket currencies versus the dollar times a leverage amount of at least 175%, with the exact amount to be set at pricing. If the basket currencies remain flat or fall against the dollar, the payout will be par.

The notes are expected to price Dec. 21 and settle Dec. 28.

Lehman Brothers Inc. will be the underwriter.

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