New Issue: Lehman prices $9.37 million principal-protected notes linked to currency basket, S&P BRIC 40

By Jennifer Chiou

New York, Feb. 27 - Lehman Brothers Holdings Inc. priced $9.37 million of zero-coupon emerging economies principal-protected notes due Feb. 21, 2013 linked to the performance of the S&P BRIC 40 index and a basket of currencies against the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The index has a 45% weight while the currency basket, consisting of equal weights of the Brazilian real, Russian ruble and Indian rupee, has a 55% weight.

The payout at maturity will be par plus 111.5% of any basket appreciation. Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Emerging economies principal-protected notes
Underlying basket:	S&P BRIC 40 index (45% weight); equal weights of the Brazilian real, Russian ruble and Indian rupee (55% weight)
Amount:	$9,368,000
Maturity:	Feb. 21, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 111.5% of any basket appreciation; floor of par
Initial index level:	2,912.04
Initial exchange rates:	Brazilian real at 1.7075, Russian ruble at 24.436, Indian rupee at 40.05
Pricing date:	Feb. 22
Settlement date:	Feb. 29
Underwriter:	Lehman Brothers Inc.
Fees:	3.75%, including selling concessions of up to 3%

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