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

By E. Janene Geiss

Philadelphia, June 5 - Lehman Brothers Holdings Inc. plans to price bull-bear FX notes due June 30, 2011 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (25%) of the Canadian dollar, Russian ruble, Indian rupee and Chinese renminbi, 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 80% of the absolute value of any decrease in the basket.

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

Lehman Brothers Inc. is the underwriter.

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