New Issue: Lehman prices $7 million FX notes linked to currency basket

By Angela McDaniels

Seattle, Jan. 26 - Lehman Brothers Holdings Inc. priced a $7 million issue of 0% Foreign Exchange Digital Plus Notes due Jan. 31, 2008 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Brazilian real with a 30% weight, Hungarian forint with a 20% weight, Indonesian rupiah with a 20% weight, Indian rupee with a 10% weight, Mexican peso with a 15% weight, Turkish lira with a 5% weight and the dollar with a negative 100% weight.

If the final basket value is less than the initial basket value, the payout at maturity will be par.

If the final basket value increases by 11% or less, the payout will be par plus a fixed payment of 14%.

If the final basket value increases by 12% or more, the payout will be par plus a fixed payment of 14% and 150% of the gain on the basket over 12%.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Foreign Exchange Digital Notes
Underlying basket:	Brazilian real (30% weight), Hungarian forint (20% weight), Indonesian rupiah (20% weight), Indian rupee (10% weight), Mexican peso (15% weight), Turkish lira (5% weight), dollar (negative 100% weight)
Amount:	$7 million
Maturity:	Jan. 31, 2008
Coupon:	0%
Price:	Par
Payout at maturity:	If basket value decreases, par; if basket value increases by 11% or less, par plus 14%; if basket increases by 12% or more, par plus 14% and 150% of the basket gain over 12%
Pricing date:	Jan. 25
Settlement date:	Jan. 31
Underwriter:	Lehman Brothers Inc.

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