New Issue: Lehman prices $870,000 FX notes linked to currency basket

By E. Janene Geiss

Philadelphia, Feb. 27 - Lehman Brothers Holdings Inc. priced $870,000 of 0% foreign exchange 100% principal-protected notes due March 1, 2010 linked to the performance of a long position in the dollar versus a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the euro with a 57.6% weight, the Japanese yen with a 13.6% weight, the British pound with an 11.9% weight, the Canadian dollar with a 9.1% weight, the Swedish krona with a 4.2% weight and the Swiss franc with a 3.6% weight, all versus a long position in the U.S. dollar.

The payout at maturity will be par plus any gain in the basket. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Foreign exchange 100% principal-protected notes
Underlying basket:	Euro with 57.6% weight, Japanese yen with 13.6% weight, British pound with 11.9% weight, Canadian dollar with 9.1% weight, Swedish krona with 4.2% weight and Swiss franc with 3.6% weight
Amount:	$870,000
Maturity:	March 1, 2010
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any basket gain; floor of par
Initial rates:	1.4883 for euro; 107.66 for yen; 1.9723 for pound; 0.9871 for Canadian dollar; 6.2534 for krona; 1.0848 for franc
Pricing date:	Feb. 26
Settlement date:	Feb. 29
Underwriter:	Lehman Brothers Inc.
Fees:	1%

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