Lehman to price India equity and currency-linked basket notes

By Jennifer Chiou

New York, Aug. 10 - Lehman Brothers Holdings Inc. plans to price three-year zero-coupon equity and currency-linked basket notes linked to the Indian rupee and the S&P CNX Nifty index, according to an FWP filing with the Securities and Exchange Commission.

The currency weight is expected to be 40%, with the equity weight at 60%.

If the basket return is positive, the payout at maturity will be par plus a fixed return that is expected to be between 105% and 115% and will be determined at pricing. Investors will receive par for losses up to 20% and will share in any decline beyond 20%.

Lehman Brothers Inc. will be the underwriter.

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