New Issue: Lehman prices $3 million FX digital plus notes linked to currency basket

By Jennifer Chiou

New York, July 30 - Lehman Brothers Holdings Inc. priced a $3 million issue of zero-coupon 100% principal-protected foreign exchange digital plus notes due Feb. 1, 2008 linked to equal weights of the Indian rupee and Indonesian rupiah, according to an FWP filing with the Securities and Exchange Commission.

If the basket appreciates relative to the dollar, investors will receive par plus an additional amount of 4.5%.

If the basket currencies remain flat or depreciate relative to the dollar, the payout will be par.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	100% principal-protected foreign exchange digital plus notes
Underlying rates:	Indian rupee and Indonesian rupiah against the dollar, equally weighted
Amount:	$3 million
Maturity:	Feb. 1, 2008
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket appreciates relative to the dollar, investors will receive par plus an additional amount of 4.5%; if the basket does not appreciate relative to the dollar, par
Initial exchange rates:	Indian rupee at 40.42, Indonesian rupiah at 9,195
Pricing date:	July 27
Settlement date:	Aug. 2
Underwriter:	Lehman Brothers Inc.
Fees:	0.42%

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