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

By E. Janene Geiss

Philadelphia, July 16 - Lehman Brothers Holdings Inc. plans to price an offering of 12.6% principal-protected foreign exchange notes due Jan. 30, 2009 linked to a basket of international currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights (25%) of the Brazilian real, Malaysian ringgit, Indonesian rupiah and Philippine peso, all versus the dollar.

Payout at maturity will equal 12.6% multiplied by the number of times the basket value is greater than zero on the monthly valuation dates, which will be the 26th of each month during the life of the notes, divided by the total number of valuation dates. No coupon will accrue for any valuation date that the basket is less than zero. If the basket level is never more than zero, investors will receive par.

The exact coupon will be set at pricing.

The notes are expected to price July 26 and settle July 31.

Lehman Brothers Inc. will be the underwriter.

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