Lehman to price 0% appreciation notes linked to rupee, Nifty index versus the dollar

By E. Janene Geiss

Philadelphia, Aug. 16 - Lehman Brothers Holdings Inc. plans to price an offering of three-year zero-coupon appreciation notes linked a basket consisting of the S&P CNX Nifty Index and the Indian rupee versus the dollar, according to an FWP filing with the Securities and Exchange Commission.

The index carries a 60% weight in the basket, with the currency weighing 40%.

If the basket has appreciated relative to the dollar, the payout will be par of $10,000 multiplied by a participation rate to be determined at pricing and expected to be between 105% and 115%.

If the basket depreciates relative to the dollar by 20% or less, payout will be par. Investors will be fully exposed to any basket depreciation beyond 20%.

Lehman Brothers Inc. will be the underwriter.

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