Lehman to price principal-protected notes linked to currency basket

By E. Janene Geiss

Philadelphia, April 23 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected notes with enhanced participation due May 21, 2010 linked to the performance of a currency basket against the dollar, according to an FWP filing with the Securities and Exchange Commission.

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

The payout at maturity will be par plus the basket return multiplied by the participation rate, which is expected to be at least 100% and will be set at pricing. Investors will receive at least par.

The notes are expected to price May 15 and settle May 21.

Lehman Brothers Inc. will be the underwriter.

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