Lehman to price 1% Fed trade-weighted total return yield notes linked to 25 currencies

By Angela McDaniels

Tacoma, Wash., March 3 - Lehman Brothers Holdings Inc. plans to price 1% one-year Fed trade-weighted total return yield notes linked to the performance of 25 currencies versus the U.S. dollar, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable at maturity.

The basket currencies and their corresponding weightings in the basket are designed to replicate the composition and weightings of the Broad Dollar index published by the Federal Reserve Board.

Specifically, the basket includes the euro, Canadian dollar, Chinese yuan, Mexican peso, Japanese yen, British pound sterling, Korean won, Taiwan dollar, Malaysian ringgit, Brazilian real, Hong Kong dollar, Singapore dollar, Thai baht, Swiss franc, Indian rupee, Australian dollar, Swedish kroner, Israeli sheckel, Russian ruble, Indonesian rupiah, Saudi riyal, Philippine peso, Chilean peso, Argentine peso and Colombian peso.

The currencies with the largest weightings in the basket are the euro with a 17.577% weight, the Canadian dollar with a 16.524% weight, the yuan with a 15.101% weight, the Mexican peso with a 9.627% weight and the yen with a 9.492% weight. The remaining currencies each have a weight of less than 5%.

The payout at maturity will par of $10,000 plus the basket return.

Lehman Brothers Inc. will be the underwriter.

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