Lehman plans FX note linked to five currencies

By E. Janene Geiss

Philadelphia, May 2 - Lehman Brothers Holdings Inc. plans to price 100% principal protection FX notes expected to mature Nov. 30, 2009 linked to the performance of a basket of currencies against the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (20%) of the Brazilian real, Russian ruble, Indian rupee, Indonesian rupiah and Philippine peso.

If the final basket level increases or decreases by less than 8% compared to the dollar, the payout at maturity will be par plus an additional amount that is equal to the sum of the basket gain plus 8%, times a participation rate that will be at least 100%. The exact participation rates will be set at pricing.

Investors will receive at least par.

The notes are expected to price May 23 and settle May 30.

Lehman Brothers Inc. is the underwriter.

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