Lehman plans to price principal protection notes linked to Asian currencies

By E. Janene Geiss

Philadelphia, Feb. 6 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protection notes due Feb. 26, 2010 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Indonesian rupiah, the Indian rupee, the Malaysian ringgit and the Philippine peso.

The payout at maturity will be par of $10 plus 160% to 190% of any appreciation in the basket relative to the dollar. The exact participation rate 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 Feb. 26 and settle Feb. 29.

UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.

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