New Issue: Lehman prices $5 million FX notes linked to dollar/real exchange rate

By Angela McDaniels

Seattle, Jan. 26 - Lehman Brothers Holdings Inc. priced a $5 million issue of 0% Foreign Exchange Digital Notes due April 2, 2007 linked to the dollar/Brazilian real spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 2.34% if the exchange rate is less than or equal to 2.1081 Brazilian reals per dollar on March 27, the valuation date. Otherwise, the payout will be par.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Foreign Exchange Digital Notes
Underlying exchange rate:	Dollar/Brazilian real spot exchange rate
Amount:	$5 million
Maturity:	April 2, 2007
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 2.34% if final exchange rate is 2.1081 Brazilian reals per dollar or less; otherwise, par
Initial exchange rate:	2.1281 Brazilian reals per dollar
Pricing date:	Jan. 25
Settlement date:	Jan. 31
Underwriter:	Lehman Brothers Inc.

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