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Lehman to price 0% notes linked to rupee, S&P CNX Nifty index
By Angela McDaniels
Seattle, Sept. 12 - Lehman Brothers Holdings Inc. plans to price three-year zero-coupon notes linked to a basket consisting of the S&P CNX Nifty index and the dollar/Indian rupee exchange rate, according to an FWP filing with the Securities and Exchange Commission.
The index carries a 60% weight in the basket, and the exchange rate carries a 40% weighting.
The payout at maturity will be par of $10,000 plus any basket gain multiplied by the participation rate, which is expected to be 105% to 115% and will be determined at pricing.
Investors will receive par if the basket decreases by 20% or less and will lose 1% for each 1% decline beyond 20%.
Lehman Brothers Inc. will be the underwriter.
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