Lehman to price enhanced participation notes linked to three currencies

By E. Janene Geiss

Philadelphia, Sept. 7 - Lehman Brothers Holdings Inc. plans to price an issue of principal-protected enhanced participation notes due Oct. 4, 2010 linked to a basket consisting of three currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the euro with a 33.34% weight, British pound sterling with a 33.33% weight and the Canadian dollar with a 33.33% weight, 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 280% 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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