Lehman to issue FX Tiered Range Notes linked to the euro/dollar exchange rate

By Angela McDaniels

Seattle, Sept. 29 - Lehman Brothers Holdings Inc. plans to price an issue of "Wedding Cake" six-month Foreign Exchange Tiered Range Notes linked to the euro/dollar spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be determined based on the performance of the euro/dollar spot exchange rate:

• If the exchange rate remains within reference range 1 during the life of the notes, the payout at maturity will be 107% of par. Reference range 1 will range from 3 cents under to 3 cents over the initial exchange rate, expressed as dollars per euro;

• If the exchange rate trades outside reference range 1 but remains within reference range 2, payout will be 105% of par. Reference range 2 will range from 5 cents under to 5 cents over the initial exchange rate;

• If the exchange rate trades outside of reference ranges 1 and 2 but remains within reference range 3, payout will be 103% of par. Reference range 3 will range from 7 cents under to 7 cents over the initial exchange rate;

• If the exchange rate trades outside of all three reference ranges, payout will be par.

There will be no interest payments.

Lehman Brothers Inc. will be the underwriter for the offering.

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