Lehman to price enhanced participation notes linked to four Asian currencies

By E. Janene Geiss

Philadelphia, Sept. 7 - Lehman Brothers Holdings Inc. plans to price an issue of principal-protected enhanced participation notes due April 2, 2009 linked to a basket consisting of four Asian currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (25%) of the Indonesia rupiah, Indian rupee, Malaysian ringgit and Singapore dollar, all versus the dollar.

The notes are expected to price Sept. 26 and settle Oct. 2.

If the basket currencies appreciate relative to the dollar, the payout at maturity will be par plus a participation rate that is expected to be 220% and will be determined at pricing. If the basket currencies remain flat or depreciate relative to the dollar, the payout will be par.

Lehman Brothers Inc. is the underwriter.

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