Lehman to price FX notes linked to basket of Asian currencies

By E. Janene Geiss

Philadelphia, Nov. 2 - Lehman Brothers Holdings Inc. plans to price 0% foreign exchange principal-protected notes due June 1, 2009 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (25%) of the Indonesian rupiah, Indian rupee, Malaysian ringgit and Singapore dollar.

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 Nov. 26 and settle Nov. 30.

Lehman Brothers Inc. will be the underwriter.

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