New Issue: Lehman prices $2.5 million principal-protected FX notes linked to BRIC currency basket

By E. Janene Geiss

Philadelphia, Sept. 24 - Lehman Brothers Holdings Inc. priced $2.5 million foreign exchange principal-protected notes due Sept. 28, 2009 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi.

The payout at maturity will be par plus any appreciation in the basket currencies versus the dollar multiplied by a leverage amount of 300%. 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 notes
Underlying currencies:	Equal weights (25%) of the Brazilian real, Russian ruble, Indian rupee, Chinese renminbi, all versus the dollar
Amount:	$2.5 million
Maturity:	Sept. 28, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 300% of any basket gain; floor of par
Initial spot rates:	Real at 1.8650, ruble at 25.0533, rupee at 39.87, renminbi at 7.5050
Pricing date:	Sept. 21
Settlement date:	Sept. 27
Underwriters:	Lehman Brothers Inc.
Fees:	2.25%

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