Lehman plans 0% U.S. dollar bullish notes linked to six currencies

By Laura Lutz

Des Moines, Feb. 7 - Lehman Brothers Holdings Inc. plans to price two-year 0% U.S. dollar bullish notes linked to a currency basket, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the euro with a 57.6% weight, the Japanese yen with a 13.6% weight, the British pound with an 11.9% weight, the Canadian dollar with a 9.1% weight, the Swedish krona with a 4.2% weight and the Swiss franc with a 3.6% weight.

The payout at maturity will be par plus any appreciation of the U.S. dollar relative to the basket. Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

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