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

By E. Janene Geiss

Philadelphia, March 31 - Lehman Brothers Holdings Inc. plans to price bull-bear FX notes due April 29, 2011 linked to a Brick basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (20%) of the Brazilian real, the Russian ruble, the Indian rupee, the Chinese renminbi and the South Korean won, all against the dollar.

The notes allow investors to take a long position in the currencies in the basket versus the dollar, at the same time as a short position in the basket versus the dollar.

If the basket appreciates against the dollar, the payout at maturity will be par plus any gain on the basket.

If the basket depreciates versus the dollar, investors will receive par plus 50% of the absolute value of any decrease in the basket.

The notes are expected to price April 25 and settle April 30.

Lehman Brothers Inc. is the underwriter.

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