Lehman to price Range Notes linked to pound, Canadian dollar

By E. Janene Geiss

Philadelphia, April 27 - Lehman Brothers Holdings Inc. plans to price an issue of three-month Double Conditional Range Notes linked to the British sterling pound/dollar spot exchange rate and the Canadian dollar/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 expected to be 1.875% (7.5% annual equivalent) if both exchange rates have traded 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 pound/dollar spot exchange rate, expressed as the number of dollars per pound, will be 0.0750 higher and 0.0850 lower than the initial spot exchange rate.

The upper boundary of the reference range for the Canadian dollar/dollar spot exchange rate, expressed as the number of dollars per Canadian dollar, will be 0.4750 more than the initial spot exchange rate, and the lower boundary will be 0.4750 less than the initial spot exchange rate.

Lehman Brothers Inc. will underwrite the offering.

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