Lehman plans FX note linked to Brick currency basket

By Laura Lutz

Des Moines, March 4 - Lehman Brothers Holdings Inc. plans to price an FX note due March 31, 2011 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights of the Brazilian real, the Russian ruble, the Indian rupee, the Chinese renminbi and the South Korean won, all against the dollar.

If the final basket level is at least the initial level, the payout at maturity will be par plus any gain on the basket times a participation rate that will be at least 100%.

Otherwise, the payout will be par plus the absolute value of any decline in the basket times a downside participation rate that will be at least 50%.

The exact participation rates will be set at pricing.

The notes are expected to price on March 26 and settle on March 31.

Lehman Brothers Inc. is the underwriter.

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