Lehman to price bull-bear FX notes linked to Brick currency basket

By Angela McDaniels

Tacoma, Wash., Feb. 29 - Lehman Brothers Holdings Inc. plans to price two-year foreign-exchange notes linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the Brazilian real, Russian ruble, Indian rupee, Chinese renminbi and South Korean won.

The payout at maturity will be par plus any basket appreciation relative to the dollar multiplied by the upside leverage factor. If the basket depreciates relative to the dollar, the payout will be par plus the absolute above of the decline multiplied by the downside leverage factor.

The upside leverage factor will be at least 100%, and the downside leverage factor will be at least 40%. Both will be set at pricing.

Lehman Brothers Inc. is the underwriter.

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