Lehman to price principal protection notes linked to four Asian currencies

By Jennifer Chiou

New York, Jan. 16 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection notes due Jan. 29, 2010 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the Indonesian rupiah, Indian rupee, Malaysian ringgit and Philippine peso, all against the dollar.

The payout at maturity will be par plus any appreciation in the basket relative to the dollar multiplied by a participation rate that will be between 170% and 200% and will be determined at pricing. If the basket remains flat or depreciates relative to the dollar, the payout will be par.

The notes are expected to price on Jan. 28 and settle on Jan. 31.

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

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