Lehman to price 0% FX notes linked to European currency basket

By E. Janene Geiss

Philadelphia, May 17 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon principal-protected, 18-month Foreign Exchange notes linked to a basket of European currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the Swedish krona, Norwegian krone, Russian ruble and Hungarian forint.

If the basket value is greater than zero on the valuation date, payout at maturity will be par plus the appreciation of the basket multiplied by the leverage amount, which will be determined at pricing and expected to be between 125% and 130%.

If the basket value is zero or less, investors will receive a downside digital payment of par plus 3%.

Lehman Brothers Inc. will be the underwriter.

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