Lehman to price principal-protected notes linked to S&P BRIC 40, three currencies

By Jennifer Chiou

New York, Feb. 8 - Lehman Brothers Holdings Inc. plans to price zero-coupon emerging economies 100% principal-protected notes due Feb. 28, 2013 linked to the S&P BRIC 40 index, the Brazilian real, Russian ruble and the Indian rupee, according to an FWP filing with the Securities and Exchange Commission.

The equity component holds a 45% weight and the currency component has a 55% weight.

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

The payout at maturity will be par plus the return on the basket multiplied by an upside participation rate of between 110% and 120%. The exact participation rate will be determined at pricing. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

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