Lehman to price principal-protected notes linked to indexes, Asian currencies

By Angela McDaniels

Seattle, May 29 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon principal-protected notes due May 2010 linked to a basket of indexes and currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the index component and the currency component.

The index component includes the Dow Jones Euro Stoxx 50 with a 35.42% weight, the FTSE 100 with a 33.97% weight, the Nikkei 225 with a 21.42% weight and the S&P ASX 200 index with a 9.19% weight. The currency component includes equal weights of the Chinese renminbi, Japanese yen, Singapore dollar and New Taiwan dollar, each measured against the dollar.

The payout at maturity will be par plus the basket return multiplied by the participation rate, which is expected to be 95% to 105% and will be determined at pricing.

The notes are expected to price and settle in May.

Lehman Brothers Inc. will be the underwriter.

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