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

By Laura Lutz

Des Moines, Aug. 6 - Lehman Brothers Holdings Inc. plans to price an issue of 100% principal protection notes due Feb. 27, 2009 linked to a currency basket, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the spot rate of the British pound against the U.S. dollar with a 33.33% weight, the spot rate of the euro against the U.S. dollar with a 33.34% weight and the spot rate of the U.S. dollar against the Canadian dollar with a 33.33% weight.

At maturity, investors will receive par plus any positive return on the basket times a participation rate that will be between 215% and 245%. The participation rate will be set at pricing.

Investors will receive at least par.

The notes are expected to price on Aug. 28.

UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

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