Lehman to price principal-protected notes linked to Brazil, Mexico basket

By Angela McDaniels

Tacoma, Wash., March 5 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected notes due March 20, 2011 linked to a basket of currencies and exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the iShares MSCI Mexico index fund, the iShares MSCI Brazil index fund, the dollar/Mexican peso exchange rate and the dollar/Brazilian real exchange rate.

The payout at maturity will be par plus the average basket return multiplied by the participation rate, which is expected to be 115% and will be set at pricing. The payout will have a floor of par and a cap of par plus 20%.

The average basket return will equal the average of the basket returns on the 16th of each March, June, September and December throughout the life of the notes.

The notes are expected to price on March 17 and settle on March 20.

Lehman Brothers Inc. will be the underwriter.

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