Lehman to price 0% FX notes linked to the best of four currency baskets

By E. Janene Geiss

Philadelphia, Aug. 16 ? Lehman Brothers Holdings Inc. plans to price an offering of two-year, zero-coupon principal-protected Foreign Exchange notes linked to the performance of four currency baskets versus the dollar, according to an FWP filing with the Securities and Exchange Commission.

The first basket will include long positions in the Brazilian real with a 33.34% weight, the Argentine peso with a 33.33% weight and the Mexican peso with a 33.33% weight.

The second basket will include equal weights (25%) of long positions in the Turkish lira, Hungarian forint, Israeli shekel and Russian ruble.

The third basket will include equal weights (25%) of long positions in the Indonesian rupiah, Singapore dollar, Malaysian ringgit and Indian rupee.

The fourth basket will include long positions in the euro with a 57.6% weight, Japanese yen with a 13.6% weight, British pound sterling with an 11.9% weight, Canadian dollar with a 9.1% weight, Swedish krona with a 4.2% weight and Swiss franc with a 3.6% weight.

If one or more of the baskets appreciates relative to the dollar, investors will receive par plus the greatest of the basket returns multiplied by 100%. The exact leverage will be determined at pricing.

If none of the baskets appreciate, payout will be par.

Lehman Brothers Inc. will be the underwriter.

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