Lehman Brothers to price principal protection notes linked to basket of four currencies

By Laura Lutz

Des Moines, May 1 - Lehman Brothers Holdings Inc. plans to price 100% principal protection notes due May 29, 2009 linked to a currency basket, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the performance against the U.S. dollar of the Chinese renminbi, the Indonesian rupiah, the Indian rupee and the Philippine peso.

At maturity, investors will receive par plus any positive return on the basket times a participation rate that will be between 235% and 275%. The participation rate will be set at pricing.

Investors will receive at least par.

The notes are expected to price on May 24 and settle on May 31.

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

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