Lehman to price 0% FX notes linked to six currencies

By E. Janene Geiss

Philadelphia, Sept. 26 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon principal-protected, one-year foreign exchange notes linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights (16.67%) of the Brazilian real, Hungarian forint, Indian rupee, Indonesia rupiah, Mexican peso and Turkish lira, all versus the dollar.

If the basket value is greater than zero on the valuation date, payout at maturity will be par plus an additional amount, which will be determined at pricing and expected to be 9.5% to 10.5%. If the basket value is less than zero, investors will receive par.

The notes are expected to price Sept. 27 and settle Oct. 3.

Lehman Brothers Inc. will be the underwriter.

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