Lehman to price FX notes linked to basket of BRIC currencies

By E. Janene Geiss

Philadelphia, Jan. 11 - Lehman Brothers Holdings Inc. plans to price 0% foreign exchange principal-protected notes due Feb. 1, 2010 linked to the performance of a basket of BRIC currencies against the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (25%) of the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi.

The payout at maturity will be par plus any appreciation in the basket currencies versus the dollar multiplied by the leverage amount, which is expected to be 175% and will be determined at pricing. If the basket currencies remain flat or depreciate relative to the dollar, the payout will be par.

The notes will price Jan. 28 and settle Jan. 31.

Lehman Brothers Inc. will be the underwriter.

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