New Issue: Lehman prices $465,000 principal-protected notes linked to currency basket

By Laura Lutz

Des Moines, March 17 - Lehman Brothers Holdings Inc. priced $465,000 of zero-coupon principal-protected notes with enhanced participation due March 22, 2010 linked to the appreciation of the U.S. dollar relative to a basket of six currencies, according to a 424B2 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.

The payout at maturity will be par plus 135% of any appreciation in the U.S. dollar relative to the basket. Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Principal-protected notes with enhanced participation
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:	$465,000
Maturity:	March 22, 2010
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 135% of any appreciation in U.S. dollar against basket; floor of par
Pricing date:	March 14
Settlement date:	March 20
Underwriter:	Lehman Brothers Inc.
Fees:	0.5%

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