Lehman to price capital-protected notes linked to Latin American currency basket

By E. Janene Geiss

Philadelphia, March 19 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon 100% capital-protected notes due April 24, 2012 linked to a basket of Latin American currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights of the Brazilian real, Argentine peso, Mexican peso and Chilean peso.

The payout at maturity will be based upon the performance of the basket currencies against the dollar. If the currencies strengthen, the payout will be par plus the basket increase multiplied by the participation rate, which is expected to be at least 215% and will be determined at pricing.

If the currencies weaken relative to the dollar or remain flat, the payout will be par.

The notes are expected to price April 17 and settle April 24.

Lehman Brothers Inc. will be the agent.

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