Lehman to price 0% FX notes linked to four currencies

By Jennifer Chiou

New York, June 15 - Lehman Brothers Holdings Inc. plans to price zero-coupon 18-month Foreign Exchange notes linked to a currency appreciation basket with a downside digital payment, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the Hong Kong dollar, Indian rupee, Turkish lira and Chinese renminbi, all versus the U.S. dollar.

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 is expected to be between 180% and 200%.

If the basket value is zero or less, investors will receive a downside digital payment of par plus 4%.

Lehman Brothers Inc. will be the underwriter.

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