Lehman to price Range Notes linked to pounds, Canadian dollar

By E. Janene Geiss

Philadelphia, March 15 - Lehman Brothers Holdings Inc. plans to price an issue of three-month Double Conditional Range Notes linked to the sterling/dollar spot exchange rate and the Canadian dollar/U.S. dollar spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus a fixed return of 2.25% (9% annual equivalent) if both exchange rates trade strictly within their respective reference ranges. If either exchange rate trades outside of its reference range, the payout at maturity will be par.

The exact fixed payment will be determined at pricing.

The reference range for the sterling/dollar spot exchange rate, expressed as the number of dollars per pounds sterling, will be 8.39 cents higher and lower than the initial spot exchange rate.

The reference range for the Canadian dollar/U.S. dollar spot exchange rate will be 4.76 Canadian cents more or less than the initial spot exchange rate.

The exact ranges will be set at pricing.

Lehman Brothers Inc. will underwrite the offering.

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