Lehman plans to price FX notes linked to revaluation currency basket

By E. Janene Geiss

Philadelphia, Aug. 13 - Lehman Brothers Holdings Inc. plans to price FX notes due June 30, 2011 linked to a 100% principal-protected revaluation basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (20%) of the United Arab Emirates dirham, Saudi riyal, Chinese renminbi, Hong Kong dollar and Russian ruble, all against the dollar.

The notes allow investors to take a long position in the currencies in the basket versus the dollar.

If the basket appreciates against the dollar, the payout at maturity will be par plus 160% to 180% of any basket gain. The exact participation rate will be determined at pricing. Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

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