Lehman to price principal-protected notes linked to currency basket, S&P BRIC 40 index

By Angela McDaniels

Tacoma, Wash., Feb. 7 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected notes due Feb. 28, 2013 linked to an index and three currencies, according to an FWP filing with the Securities and Exchange Commission.

The payout is linked to a basket consisting of an equity component - the S&P BRIC 40 index - and a currency component - the Brazilian real, the Russian ruble and the Indian rupee. Within the basket, the equity component has a 45% weight and the currency component has a 55% weight. Within the currency component, the rupee has a 33.34% weight and the real and ruble each have a 33.33% weight.

The payout at maturity will be par plus any basket gain multiplied by the participation rate, which is expected to be 110% to 120% and will be determined at pricing. Investors will receive at least par.

The notes are expected to price on Feb. 22 and settle on Feb. 29.

Lehman Brothers Inc. will be the underwriter.

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