New Issue: Lehman prices $2.2 million principal-protected digital plus FX notes linked to currency basket

By E. Janene Geiss

Philadelphia, Sept. 28 - Lehman Brothers Holdings Inc. priced $2.2 million of zero-coupon principal-protected foreign exchange notes due Oct. 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, Hungarian forint, Indian rupee and Indonesia rupiah, each with a 16.67% weight, along with the Mexican peso and the Turkish lira, both with a 16.66% weight.

If the basket appreciates versus the dollar, payout at maturity will be par plus 10%. If the basket depreciates, investors will receive par.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	100% principal-protected notes
Underlying currencies:	Brazilian real, Hungarian forint, Indian rupee and Indonesia rupiah (with a 16.67% weight each) and Mexican peso and Turkish lira (with 16.66% weight each), all versus the dollar
Amount:	$2.2 million
Maturity:	Oct. 31, 2008
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 10% if basket appreciates; floor of par
Initial spot rates:	1.8409 for real, 176.40 for forint, 9,140 for rupee, 39.75 for rupiah, 10.9438 for peso and 1.2157 for lira
Pricing date:	Sept. 27
Settlement date:	Oct. 3
Underwriters:	Lehman Brothers Inc.
Fees:	1%

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