Lehman to price 0% principal-protected notes linked to BRIC currencies

By Jennifer Chiou

New York, March 30 - Lehman Brothers Holdings Inc. plans to price zero-coupon principal-protected notes due April 30, 2009 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi, all relative to the dollar.

The payout at maturity will be par plus the basket return multiplied by the participation rate, which is expected to be between 310% and 360% and will be determined at pricing. Investors will receive at least par.

The notes will price on April 24 and settle on April 30.

UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.

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