New Issue: Lehman prices $20.62 million bull-bear FX notes linked to Brick currency basket

By E. Janene Geiss

Philadelphia, March 17 - Lehman Brothers Holdings Inc. priced $20,622,000 bull-bear FX notes due March 19, 2010 linked to the Brick basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (20%) of the Brazilian real, the Russian ruble, the Indian rupee, the Chinese renminbi and the South Korean won, all against the dollar.

The notes allow investors to take a long position in the currencies in the basket versus the dollar, at the same time as a short position in the basket versus the dollar.

If the basket appreciates against the dollar, the payout at maturity will be par plus 100% of any gain on the basket.

If the basket depreciates versus the dollar, investors will receive par plus 40% of the absolute value of any decrease in the basket.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Bull-bear foreign-exchange basket-linked notes
Underlying basket:	Equal weights (20%) of Brazilian real, Russian ruble, Indian rupee, Chinese yuan and South Korean won, all against dollar
Amount:	$20,622,000
Maturity:	March 19, 2011
Coupon:	0%
Price:	Par
Payout at maturity:	If basket gains against dollar, par plus 100% of any gain on basket; otherwise, par plus 40% of absolute value of basket decline
Initial levels:	1.6971 for real, 23.6792 for ruble, 40.45 for rupee, 7.0882 for yuan and 988.30 for won
Pricing date:	March 14
Settlement date:	March 19
Underwriter:	Lehman Brothers Inc.
Fees:	1.5%

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