Lehman plans FX note linked to four currencies

By E. Janene Geiss

Philadelphia, April 23 - Lehman Brothers Holdings Inc. plans to price two-year 100% principal protection FX notes linked to the performance of a basket of currencies against the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (25%) of the euro, British pound sterling, Canadian dollar and Swiss franc.

If the final basket level is at least the initial level, the payout at maturity will be par plus any gain on the basket times a participation rate that will be 115% to 130%. The exact participation rates will be set at pricing.

Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

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