Lehman to price 0% FX Notes linked to seven currencies

By Angela McDaniels

Seattle, Oct. 25 - Lehman Brothers Holdings Inc. plans to price an issue of 18-month Foreign Exchange Notes linked to a basket of the currencies of U.S. trading partners, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the spot exchange rate of the following currencies quoted against the dollar: the Canadian dollar with a 20% weight, the Chinese renminbi with a 20% weight, the yen with a 20% weight, the euro with a 15% weight, the Mexican peso with a 15% weight and the Singapore dollar with a 10% weight. The basket also includes the dollar with a negative 100% weight.

If the basket value is greater than zero on the valuation date, payout at maturity will be par plus the product of the basket return multiplied by the leverage amount, which will be 130% to 140% and will be determined at pricing. If the basket value is less than zero, the payout will be par.

There will be no interest payments.

Lehman Brothers Inc. will be the underwriter.

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