Lehman to price FX notes linked to Chinese renminbi, Indian rupee

By E. Janene Geiss

Philadelphia, May 23 - Lehman Brothers Holdings Inc. plans to price two-year 0% foreign exchange principal-protected notes linked the performance of two currencies against the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the equal weights of the Chinese renminbi and the Indian rupee.

The payout at maturity will be par plus any appreciation in the basket currencies versus the dollar multiplied by a participation rate of 140% to 160%. The exact rate will be set at pricing.

If the basket currencies remain flat or depreciate relative to the dollar, the payout will be par.

Lehman Brothers Inc. will be the underwriter.

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