Lehman to issue FX Digital Plus Notes linked to four currencies

By E. Janene Geiss

Philadelphia, June 19 - Lehman Brothers Holdings Inc. plans to price an issue of one-year Foreign Exchange Digital Plus Notes linked to an equally weighted basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes long positions in the Brazilian real, Indian rupee, Mexican peso and Turkish lira, all versus short positions in the dollar.

If the basket return against the dollar is below or equal to zero, payout at maturity will be par. If the basket increases up to 5.75%, payout will be par plus 11.50%. If the basket increases by 5.75% or more, the payout will be 200% of the basket return.

There will be no interest payments.

Lehman Brothers Inc. will be the underwriter for the offering.

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