Lehman plans enhanced participation notes linked to six currencies

By Laura Lutz

Des Moines, Jan. 14 - Lehman Brothers Holdings Inc. plans to price zero-coupon principal-protected notes with enhanced participation due Feb. 12, 2010 linked to a currency basket, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the euro with a 57.6% weight, the Japanese yen with a 13.6% weight, the British pound with an 11.9% weight, the Canadian dollar with a 9.1% weight, the Swedish krona with a 4.2% weight and the Swiss franc with a 3.6% weight.

The payout at maturity will be par plus any appreciation of the U.S. dollar relative to the basket times a participation rate that is expected to be at least 135%. The exact participation rate will be set at pricing.

Investors will receive at least par.

The notes are expected to price on Feb. 8 and settle on Feb. 14.

Lehman Brothers Inc. is the underwriter.

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