Lehman to price principal protection notes linked to Asian currency basket

By Angela McDaniels

Seattle, Sept. 26 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection notes due Oct. 30, 2009 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on Oct. 25 and settle on Oct. 31.

The basket will include equal weights of the Chinese renminbi, Indonesian rupiah, Indian rupee and Philippine peso.

The payout at maturity will be par of $10 plus any appreciation in the basket relative to the dollar multiplied by the participation rate, which is expected to be 210% to 250% and will be determined at pricing. If the basket remains flat or depreciates relative to the dollar, the payout will be par.

UBS Financial Services Inc. and Lehman Brothers Inc. will be the underwriters.

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