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

By Jennifer Chiou

New York, Aug. 17 - Lehman Brothers Holdings Inc. plans to price two-year zero-coupon principal-protected foreign exchange notes linked to the best of three baskets of currencies, according to an FWP filing with the Securities and Exchange Commission.

The first basket will include equal weights of the Brazilian real, Argentine peso and Mexican peso.

The second basket will include equal weights of the Turkish lira, Hungarian forint, Israeli shekel and Russian ruble.

The third basket will include equal weights of the Indonesian rupiah, Singapore dollar, Malaysian ringgit and Indian rupee.

At maturity, investors will receive par plus 150% of the best-performing basket return. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

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