Lehman plans 0% FX notes linked to BRIC currency basket

By Angela McDaniels

Seattle, Jan. 31 - Lehman Brothers Holdings Inc. plans to price an offering of 0% foreign exchange notes due 2010 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 20% weight, the Russian ruble with a 30% weight, the Indian rupee with a 20% weight, the Chinese renminbi with a 30% weight and the dollar with a negative 100% weight.

The payout at maturity will be par plus the leverage percentage multiplied by any basket gain. The leverage percentage is expected to be 450% and will be determined at pricing. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter for the offering.

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