Lehman to price principal protection notes linked to basket of indexes, currencies

By Laura Lutz

Des Moines, June 1 - Lehman Brothers Holdings Inc. plans to price an issue of zero-coupon 100% principal protection notes due June 29, 2010 linked to a basket of currencies and equity indexes, according to an FWP filing with the Securities and Exchange Commission.

The equity component consists of the Dow Jones Euro Stoxx 50 index, the FTSE 100 index, the Nikkei 225 index and the S&P/ASX 200 index. The currency component consists of the euro, the British pound, the Japanese yen and the Australian dollar, all against the U.S. dollar. The equity component and the currency component are equally weighted.

The Euro Stoxx 50 and euro make up 35.42% of the equity and currency components, respectively; the FTSE 100 and British pound make up 33.97% of their respective components; the Nikkei 225 and yen make up 21.42% of their respective components; and the S&P ASX 200 and Australian dollar make up 9.19% of their respective components.

At maturity, investors will receive par plus any positive return on the basket times a participation rate that will be between 125% and 135%. The participation rate will be set at pricing.

Investors will receive at least par.

The notes are expected to price on June 26 and settle on June 29.

Lehman Brothers Inc. will be the underwriter.

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