Lehman plans bull-bear FX notes linked to currency basket

By E. Janene Geiss

Philadelphia, Dec. 7 - Lehman Brothers Holdings Inc. plans to price foreign-exchange basket-linked notes due Dec. 28, 2009 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the euro with a 57.6% weight, Japanese yen with a 13.6% weight, British pound 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, all against the dollar.

The notes allow investors to take a long position in the currencies in the basket versus the dollar, at the same time as a short position in the basket versus the dollar.

If the basket appreciates against the dollar, the payout at maturity will be par plus an upside leverage of 100% of any gain on the basket. The exact upside amount will be determined at pricing.

If the basket depreciates versus the dollar, investors will receive par plus 50% of the absolute value of any decrease in the basket. The exact downside return rate will be determined at pricing.

The notes are expected to price Dec. 21 and settle Dec. 28.

Lehman Brothers Inc. is the underwriter.

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