Filed Pursuant to Rule 424(b)(2)

Registration No. 333-134553

PRICING SUPPLEMENT NO. 504
(To prospectus dated May 30, 2006 and prospectus supplement dated May 30, 2006)

U.S.$3,000,000

LEHMAN BROTHERS HOLDINGS INC.

MEDIUM-TERM NOTES, SERIES I

FX Basket-Linked Notes

Due November 13, 2009

Because these notes are part of a series of Lehman Brothers Holdings’ debt securities called Medium-Term Notes, Series I, this pricing supplement should also be read with the accompanying prospectus supplement, dated May 30, 2006 (the “MTN prospectus supplement”) and the accompanying prospectus dated May 30, 2006 (the “base prospectus”). Terms used here have the meanings given to them in the MTN prospectus supplement or the base prospectus, unless the context requires otherwise.

General:

• Senior unsecured obligations of Lehman Brothers Holdings Inc.

• CUSIP: 5252M0AN7

• ISIN: US525M0AN70

• The notes are designed for investors who believe that the Reference Currencies in at least one of the Baskets will have appreciated relative to the U.S. dollar on the Valuation Date.

• Baskets and Reference Currencies: Each Basket_n is composed of the Reference Currencies identified below, with each Reference Currency in such Basket_n having the respective Weighting specified below.

• Basket 1: Brazilian Real (BRL), Argentine Peso (ARS) and Mexican Peso (MXN), each with a Weighting of 33.34%, 33.33% and 33.33%, respectively.

• Basket 2: Turkish Lira (TRY), Hungarian Forint (HUF), Israeli Shekel (ILS) and Russian Ruble (RUB), each with a Weighting of 25%

• Basket 3: Indonesian Rupiah (IDR), Singapore Dollar (SGD), Malaysian Ringgit (MYR) and Indian Rupee (INR), each with a Weighting of 25%

• Maturity Date: November 13, 2009

• Valuation Date: November 6, 2009; provided that, upon the occurrence of a Disruption Event (as defined in “Description of the Notes” below) with respect to a Reference Currency, the Valuation Date for the affected Reference Currency may be postponed (as described in “Description of the Notes” below).

• The notes are 100% principal protected if held to maturity.

• The Additional Amount is a single U.S. dollar amount equal to the principal amount of the notes multiplied by the product of the Leverage times the greatest of the Basket Returns of (a) Basket 1, (b) Basket 2 and (c) Basket 3; provided that the minimum Additional Amount payable on the notes shall be zero.

• Settlement Rate: For each Reference Currency, the Reference Exchange Rate on the Valuation Date determined in accordance with the applicable Settlement Rate Option (as defined in “Description of the Notes” below) subject to the occurrence of a Disruption Event (as defined in “Description of the Notes” below).

• Reference Exchange Rates: For each Reference Currency, the spot exchange rate for that Reference Currency quoted against the U.S. dollar expressed as the number units of the Reference Currency per USD 1.

• Leverage: 145%

• Basket Return: For each Basket_n, the sum of the Weighted Currency Returns for the Reference Currencies in that Basket_n.

• Weighted Currency Returns: For each Reference Currency in each Basket_n, the product of the Weighting for such Reference Currency times a quotient, the numerator of which is the difference of the Initial Reference Currency Rate for such Reference Currency minus the Settlement Rate for such Reference Currency and the denominator of which is the Settlement Rate for such Reference Currency.

• Initial Reference Currency Amounts:

• Denominations: U.S.$1,000 and whole multiples of U.S.$1,000 in excess thereof.

Payments:

• No interest payments during the term of the notes.

• Each note will receive a single U.S. dollar payment on the Maturity Date equal to the principal amount of the notes plus the Additional Amount, if any, which payment is linked to the Basket Returns.

Basket	Reference Currency	Initial Reference Currency Rate
Basket 1	BRL	1.7325
	ARS	3.1335
	MXN	10.6639
Basket 2	TRY	1.1727
	HUF	173.38
	ILS	3.9350
	RUB	24.6209
Basket 3	IDR	9179
	SGD	1.4513
	MYR	3.3544
	INR	39.29

Investing in the notes involves risks. Risk Factors begin on page S-4 of the MTN prospectus supplement.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this pricing supplement or any accompanying prospectus supplement or prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

	Per Note		Total
Public offering price(1)	100.00	%	U.S.$3,000,000
Underwriting discount(2)	1.20	%	U.S.$36,000
Proceeds to Lehman Brothers Holdings Inc.	98.80	%	U.S.$2,964,000

(1) The price to public includes our cost of hedging our obligations under the notes through one or more of our affiliates, which includes such affiliates’ expected cost of providing such hedge as well as the profit the such affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.

(2) Lehman Brothers Inc. will receive commissions equal to $12.00 per $1,000 principal amount, or 1.20%, and may use all or a portion of these commissions to pay selling concessions or fees to other dealers. Lehman Brothers Inc. and/or an affiliate may earn additional income as a result of payments pursuant to any hedges.

The notes are expected to be ready for delivery in book-entry form only through The Depository Trust Company on or about November 13, 2007.

Lehman Brothers Inc., a wholly owned subsidiary of Lehman Brothers Holdings, makes a market in Lehman Brothers Holdings’ securities. It may act as principal or agent in, and this pricing supplement may be used in connection with, those transactions. Any such sales will be made at varying prices related to prevailing market prices at the time of sale.

LEHMAN BROTHERS

November 6, 2007

SUMMARY INFORMATION — Q&A

This summary highlights selected information from this pricing supplement, the MTN prospectus supplement and the base prospectus to help you understand the notes. You should carefully read this pricing supplement, the MTN prospectus supplement and the base prospectus to understand fully the terms of the notes and the tax and other considerations that are important to you in making a decision about whether to invest in the notes. You should pay special attention to the “Risk Factors” section on page S-4 of the MTN prospectus supplement to determine whether an investment in the notes is appropriate for you.

What are the notes?

The notes will be a series of our senior debt that are linked to the performance of three baskets (the “Baskets”), each Basket_n composed of the Reference Currencies identified below, with each Reference Currency in such Basket_n having the respective Weighting specified below.

Basket 1 consists of the Brazilian Real (BRL), Argentine Peso (ARS) and Mexican Peso (MXN), each with a Weighting of 33.34%, 33.33% and 33.33%, respectively. Basket 2 consists of Turkish Lira (TRY), Hungarian Forint (HUF), Israeli Shekel (ILS) and Russian Ruble (RUB), each with a Weighting of 25%. Basket 3 consists of Indonesian Rupiah (IDR), Singapore Dollar (SGD), Malaysian Ringgit (MYR) and Indian Rupee (INR), each with a Weighting of 25%.

The notes will rank equally with all other unsecured debt of Lehman Brothers Holdings Inc., except subordinated debt, and will mature on November 13, 2009 (or if such day is not a New York business day, the next succeeding New York business day).

What payments will I receive on the notes before maturity?

None. Unlike ordinary debt securities, the notes do not pay interest before maturity.

What will I receive if I hold the notes until the stated maturity date?

We have designed this type of note for investors who want to protect their investment by receiving at least the principal amount of their investment at maturity and who also want to participate in a possible increase in the value of the Reference Currencies in at least one of the Baskets relative to the U.S. dollar. At maturity, you will receive a payment equal to the sum of:

• the principal amount of the notes; and

• the Additional Amount, if any.

As a result, if you hold the notes until maturity, you will not receive less than the principal amount.

How will the Additional Amount be calculated?

The Additional Amount is a single U.S. dollar amount equal to the principal amount of the notes multiplied by the product of the Leverage times the greatest of the Basket Returns of (a) Basket 1, (b) Basket 2, or (c) Basket 3; provided that the minimum Additional Amount payable on the notes shall be zero.

The Basket Return is, for each Basket_n, the sum of the Weighted Currency Returns for the Reference Currencies in that Basket_n. The Weighted Currency Return for each Reference Currency in each Basket _n is the product of the Weighting for such Reference Currency times a quotient, the numerator of which is the difference of the Initial Reference Currency Rate for such Reference Currency minus the Settlement Rate for such Reference Currency and the denominator of which is the Settlement Rate for such Reference Currency.

The Initial Reference Currency Rate for each Reference Currency is as follows:

Basket_n	Reference Currency	Initial Reference Currency Rate
Basket 1	BRL ARS MXN	1.7325 3.1335 10.6639
Basket 2	TRY HUF ILS RUB	1.1727 173.38 3.9350 24.6209
Basket 3	IDR SGD MYR INR	9179 1.4513 3.3544 39.29

The Initial Reference Currency Rate for each Reference Currency is the Reference Exchange Rate for that Reference Currency determined by the Calculation Agent on the date hereof in accordance with the applicable Settlement Rate Option (as defined in “Description of the Notes” below).

PS-1

The Settlement Rate for each Reference Currency is the Reference Exchange Rate on the Valuation Date determined in accordance with the applicable Settlement Rate Option, subject to the occurrence of a Disruption Event (as defined in “Description of the Notes” below).

The Valuation Date is November 6, 2009; provided that, upon the occurrence of a Disruption Event with respect to a Reference Currency, the Valuation Date for the affected Reference Currency may be postponed (as described in “Description of the Notes” below).

The Reference Exchange Rates are the spot exchange rate for each of the Reference Currencies quoted against the U.S. dollar expressed as the number units of the Reference Currency per USD 1.

The Leverage is 145%.

For further information concerning the calculation of the Additional Amount, see “Description of the Notes” below. You can review hypothetical Redemption Amount payment examples under “Description of the Notes—Hypothetical Redemption Amount Payment Examples” below.

How will I be able to find the Basket Return for each Basket_n at any point in time?

You can obtain the Basket Return for each Basket_n at any time by calling your Lehman Brothers sales representative.

You can review the historical performance of each of the Reference Currencies under “Historical Exchange Rates” below.

Are there any risks associated with my investment?

Yes, the notes will be subject to a number of risks. See “Risk Factors” beginning on page S-4 of the MTN prospectus supplement.

What about taxes?

We intend to treat the notes as contingent payment debt instruments as described under “Certain United States Federal Income Tax Consequences” below and “Supplemental United States Federal Income Tax Consequences — Contingent Payment Debt Instruments” in the MTN prospectus supplement.

What happens in the event of a Disruption Event?

If the Calculation Agent determines that a Disruption Event (as defined in “Description of the Notes” below) relating to one or more of the Reference Currencies in any Basket_n is in effect on the scheduled Valuation Date, the Calculation Agent will determine the Basket Return for that Basket _n using:

• for each Reference Currency that did not suffer a Disruption Event on the scheduled Valuation Date, the Settlement Rate on the scheduled Valuation Date, and

• for each Reference Currency that did suffer a Disruption Event on the scheduled Valuation Date, the Settlement Rate on the immediately succeeding scheduled Valuation Business Day for such Reference Currency on which no Disruption Event occurs or is continuing with respect to such Reference Currency;

provided however that if a Disruption Event has occurred or is continuing with respect to a Reference Currency on each of the three scheduled Valuation Business Days following the scheduled Valuation Date, then (a) such third scheduled Valuation Business Day shall be deemed the Valuation Date for the affected Reference Currency; and (b) the Calculation Agent will determine the Settlement Rate for the affected Reference Currency on such day in accordance with the Fallback Rate Observation Methodology, as defined under “Description of the Notes—Currency-Indexed Notes” in the MTN prospectus supplement.

Who is Lehman Brothers Holdings?

Lehman Brothers Holdings Inc. and its subsidiaries (collectively “Lehman Brothers Holdings”) an innovator in global finance, serves the financial needs of corporations, governments and municipalities, institutional clients and high-net-worth clients worldwide. Lehman Brothers Holdings’ worldwide headquarters in New York and regional headquarters in London and Tokyo are complemented by offices in additional locations in North America, Europe, the Middle East, Latin America and the Asia Pacific region. See “Prospectus Summary — Lehman Brothers Holdings Inc.” and “Where You Can Find More Information” on pages 1 and 58, respectively, of the base prospectus.

You may request a copy of any document Lehman Brothers Holdings files with the Securities and Exchange Commission, or the SEC, pursuant to the Securities and Exchange Act of 1934, at no cost, by writing or telephoning Lehman Brothers Holdings at the address set forth under the caption “Where You Can Find More Information” in the base prospectus.

What is the role of Lehman Brothers Inc.?

Lehman Brothers Inc., one of our subsidiaries, will be the agent and the calculation agent for purposes of determining whether the Additional Amount is payable on the Maturity Date as well as determining whether a Disruption Event has occurred. Potential

PS-2

RISK FACTORS

An investment in the notes entails certain risks not associated with an investment in conventional floating rate or fixed rate medium-term notes. See “Risk Factors” generally, and “Risk Factors—Risks Relating to Currency-Indexed Notes” specifically, in the MTN prospectus supplement.

DESCRIPTION OF THE NOTES

The U.S.$3,000,000 aggregate principal amount of FX Basket-Linked Notes Due November 13, 2009 offered hereby are Medium-Term Notes, Series I, of Lehman Brothers Holdings Inc. The CUSIP number for the notes is 5252M0AN7 and the ISIN number is US5252M0AN70. The notes will be issued in book-entry form only, and will be eligible for transfer through the facilities of DTC or any successor depository. See “Book-Entry Procedures and Settlement” in the base prospectus.

The notes will be issued in minimum denominations of U.S.$1,000 and in integral multiples of U.S.$1,000 in excess thereof, and will have a stated “Maturity Date” of November 13, 2009 or if such day is not a New York business day, the next succeeding New York business day.

The notes are offered as foreign exchange-linked notes that allow you to hold a long position in currencies, which are included in three different baskets (the “Baskets”). Each Basket_n is composed of the Reference Currencies identified below, with each Reference Currency in such Basket_n having the respective Weighting specified below.

Basket 1 consists of the Brazilian Real (BRL), Argentine Peso (ARS) and Mexican Peso (MXN), each with a weighting of 33.34%, 33.33% and 33.33%, respectively. Basket 2 consists of Turkish Lira (TRY), Hungarian Forint (HUF), Israeli Shekel (ILS) and Russian Ruble (RUB), each with a weighting of 25%. Basket 3 consists of Indonesian Rupiah (IDR), Singapore Dollar (SGD), Malaysian Ringgit (MYR) and Indian Rupee (INR), each with a weighting of 25%.

If held to the Maturity Date, holders of the notes will receive on the Maturity Date a single payment in U.S. dollars in an amount equal to the Redemption Amount as described below. No interest will accrue during the term of the notes and no interest will be payable on the Maturity Date except in the event that the Redemption Amount is not paid when due, as described below.

The “Redemption Amount” for each note will be an amount equal to the sum of the principal amount of each note plus the Additional Amount, if any. The Additional Amount is linked to the Basket Return for each Basket_n, which in turn is based on the spot exchange rates of the Reference Currencies in each Basket_n relative to the U.S. dollar. Holders of the notes will receive on the Maturity Date an amount equal to not less than the principal amount of each note, notwithstanding a possible depreciation of the Reference Currencies in each Basket_n as compared to the U.S. dollar.

The “Additional Amount” is a single U.S. dollar amount equal to the principal amount of the notes multiplied by the product of the Leverage times the greatest of the Basket Returns of (a) Basket 1, (b) Basket 2 and (c) Basket 3; provided that the minimum Additional Amount payable on the notes shall be zero.

The “Basket Return” for each Basket_n is the sum of the Weighted Currency Returns for the Reference Currencies in that Basket_n. The “Weighted Currency Return” for each Reference Currency in each Basket_n is the product of the Weighting for such Reference Currency times a quotient, the numerator of which is the difference of the Initial Reference Currency Rate for such Reference Currency minus the Settlement Rate for such Reference Currency and the denominator of which is the Settlement Rate for such Reference Currency.

The “Leverage” is 145%.

PS-4

The “Initial Reference Currency Rate” and “Weighting” for each Reference Currency in each Basket_n are as follows:

Basket _n	Reference Currency	Initial Reference Currency Rate	Weighting

Basket 1	BRL	1.7325	33.34%
	ARS	3.1335	33.33%
	MXN	10.6639	33.33%

Basket 2	TRY	1.1727	25%
	HUF	173.38	25%
	ILS	3.9350	25%
	RUB	24.6209	25%

Basket 3	IDR	9179	25%
	SGD	1.4513	25%
	MYR	3.3544	25%
	INR	39.29	25%

The Initial Reference Currency Rate for each Reference Currency is the Reference Exchange Rate for that Reference Currency determined by the Calculation Agent on the Trade Date in accordance with the applicable Settlement Rate Option.

The “Settlement Rate” for each Reference Currency is the Reference Exchange Rate on the Valuation Date, determined in accordance with the applicable Settlement Rate Option (subject to the occurrence of a Disruption Event).

The “Valuation Date” is November 6, 2009; provided that, upon the occurrence of a Disruption Event with respect to a Reference Currency, the Valuation Date for the affected Reference Currency may be postponed (as described below).

The “Reference Exchange Rates” are the spot exchange rates for each of the Reference Currencies quoted against the U.S. dollar expressed as number of currency units per USD 1.

The “Trade Date” is the date hereof.

The “Issue Date” is November 13, 2007.

The “Settlement Rate Option” and “Valuation Business Day” for each Reference Currency are as follows:

Reference Currency	Screen Reference	Valuation Business Day
BRL	BRFR	Brazilia, Rio de Janiero or São Paulo; and New York

ARS**	ARS=	Buenos Aires and New York

MXN	MEX01	Mexico City and New York

TRY	The EUR/TRY rate on ECB37 divided by the EUR/USD rate on ECB37	TARGET and New York

PS-5

HUF	The EUR/HUF rate on ECB37 divided by the EUR/USD rate on ECB37	TARGET and New York

ILS	FXIL	Tel Aviv and New York

RUB	EMTA	Moscow and New York

IDR	ABSIRFIX01	Singapore and New York

SGD	ABSIRFIX01	Singapore and New York

MYR	ABSIRFIX01	Singapore and New York

INR	RBIB	Mumbai and New York

** The Settlement Rate Option for ARS is the Argentine Peso/U.S. dollar official fixing rate, expressed as the amount of Argentine Pesos per one U.S. dollar for settlement on the same day (or, if that day is not a business day in Buenos Aires and New York, for settlement on the first succeeding day that is a business day in both Buenos Aires and New York) which appears on the Reuters Screen ARS= page at the close of business in Buenos Aires on that Valuation Date.

For further information concerning the Settlement Rate Option and Valuation Business Day, see “Description of the Notes—Currency-Indexed Notes” in, and Appendix A to, the MTN prospectus supplement.

If a Disruption Event relating to one or more of the Reference Currencies in any Basket_n is in effect on the scheduled Valuation Date, the Calculation Agent will determine the Basket Return for that Basket_nusing:

• for each Reference Currency that did not suffer a Disruption Event on the scheduled Valuation Date, the Settlement Rate on the scheduled Valuation Date, and

provided however that if a Disruption Event has occurred or is continuing with respect to a Reference Currency on each of the three scheduled Valuation Business Days following the scheduled Valuation Date, then (a) such third scheduled Valuation Business Day shall be deemed the Valuation Date for the affected Reference Currency; and (b) the Calculation Agent will determine the Settlement Rate for the affected Reference Currency on such day in accordance with the Fallback Rate Observation Methodology, as defined under “Description of the Notes—Currency-Indexed Notes” in the MTN prospectus supplement.

A “Disruption Event” means any of the following events as determined in good faith by the Calculation Agent:

(A) the occurrence and/or existence of an event on any day that has the effect of preventing or making impossible (x) for any Reference Currency other than ARS, IDR, INR or MYR, the conversion of the Reference Currency into USD through customary legal channels; or (y) for any Reference Currency other than ARS, IDR, INR or MYR, the delivery of USD from accounts inside the country for which a Reference Currency is the lawful currency (such jurisdiction with respect to such Reference Currency, the “Reference Currency Jurisdiction”) for that Reference Currency to accounts outside that Reference Currency Jurisdiction;

PS-6

(B) the occurrence of any event causing the Reference Exchange Rate for the Reference Currency to be split into dual or multiple currency exchange rates; or

(C) the Settlement Rate being unavailable for the Reference Currency, or the occurrence of an event (i) in the Reference Currency Jurisdiction for that Reference Currency that materially disrupts the market for the Reference Currency or (ii) that generally makes it impossible to obtain the Settlement Rate for the Reference Currency, on the Valuation Date.

For purposes of the above, “scheduled Valuation Business Day” means a day that is or, in the judgment of the Calculation Agent, should have been, a Valuation Business Day for the affected Reference Currency.

The notes are not subject to redemption at our option or to repayment at the option of the Holders of the notes prior to the Maturity Date.

In case an event of default (as described in the base prospectus) with respect to any note shall have occurred and be continuing, the amount that may be declared due and payable upon any acceleration of the notes will be determined by the Calculation Agent for the period from and including the Issue Date to but excluding the date of early repayment and will equal, for each note, the Redemption Amount, calculated as though the date of early repayment were the Maturity Date. If a bankruptcy proceeding is commenced in respect of Lehman Brothers Holdings, the claim of the beneficial owner of a note for the period from and including the Issue Date to but excluding the date of early repayment will be capped at the Redemption Amount, calculated as though the date of the commencement of the proceeding were the Maturity Date.

Any overdue payment in respect of any note will bear interest until the date upon which all sums due in respect of such note are received by or on behalf of the relevant Holder, at the rate per annum that is the rate for deposits in U.S. dollars for a period of six months that appears on the Reuters Screen LIBOR page as of 11:00 a.m. (London time) on the first London business day following such failure to pay. Such rate will be determined by the Calculation Agent. If interest in respect of overdue amounts is calculated for a period of less than one year, it will be calculated on the basis of a 360-day year consisting of 12 months of 30 days each, and, in the case of an incomplete month, the number of days elapsed.

The “Calculation Agent” means Lehman Brothers Inc.

PS-7

HISTORICAL EXCHANGE RATES

General

The notes allow you to hold a long position in three currency Baskets, with each Basket representing a long position in the Reference Currencies in that Basket relative the U.S. dollar (USD). The Reference Currencies in Basket 1 consist of the Brazilian Real (BRL), Argentine Peso (ARS) and Mexican Peso (MXN), each of which makes up a portion of Basket 1 with a weighting of 33.34%, 33.33% and 33.33%, respectively. The Reference Currencies in Basket 2 consist of the Turkish Lira (TRY), Hungarian Forint (HUF), Israeli Shekel (ILS) and Russian Ruble (RUB), each of which makes up a portion of Basket 2 with a weighting of 25%. The Reference Currencies in Basket 3 consist of the Indonesian Rupiah (IDR), Singapore Dollar (SGD), Malaysian Ringgit (MYR) and Indian Rupee (INR), each of which makes up a portion of Basket 3 with a weighting of 25%.

Historical Data on the Reference Currencies

The following charts show the spot exchange rates for each Reference Currency at the end of each week in the period from the week ending October 31, 2004 through the week ending November 4, 2007 and the date hereof using historical data obtained from Reuters; neither we nor Lehman Brothers Inc. make any representation or warranty as to the accuracy or completeness of this data. The spot exchange rates are expressed as the amount of U.S. dollars per Reference Currency to show the appreciation or depreciation, as the case may be, of the Reference Currency against the U.S. dollar. The spot exchange rates used to calculate the Basket Returns are expressed as the amount of Reference Currency per U.S. dollar, which are the inverse of the spot exchange rates presented in the following charts. The historical data on each Reference Currency is not necessarily indicative of the future performance of the Reference Currencies, the Basket Returns or what the value of the notes may be. Fluctuations in exchange rates make it difficult to predict whether the Additional Amount will be payable at maturity, or what that Additional Amount, if any, may be. Historical exchange rate fluctuations may be greater or lesser than those experienced by the holders of the notes.

PS-8

HYPOTHETICAL REDEMPTION AMOUNT PAYMENT EXAMPLES

The following payment examples for this note show scenarios for the Redemption Amount and the Additional Amount payable at maturity per $1,000 principal amount of notes based on values for the Leverage of 145% and scenarios for the Basket Returns of each Basket. Also included below are further examples illustrating how the hypothetical Basket Returns for Basket 3 in the below scenarios are calculated, using values for the Initial Reference Currency Rates for the Reference Currencies in Basket 3 (which were determined on the Trade Date), and their hypothetical Settlement Rates (which will be determined on the Valuation Date). The following results are based solely on the hypothetical examples cited; the Settlement Rate values for the Reference Currencies and related Basket Returns, have been chosen arbitrarily for the purpose of these examples, are not associated with Lehman Brothers Research forecasts for any Reference Currency/USD exchange rates and should not be taken as indicative of the future performance of any Reference Currency/USD exchange rate. Numbers in the examples have been rounded for ease of analysis.

Scenario Basket Return for Basket 1 Basket Return for Basket 2 Basket Return for Basket 3 Greatest of the Basket Returns Additional Amount = Principal Amount * Leverage * Greatest of the Basket Returns

Redemption Amount = Principal Amount + Additional Amount

1	5%	7%	8.83%	8.83%	12.80%	$1,128
2	–2%	8%	1.42%	8%	11.60%	$1,116
3	7%	–4%	1.08%	7%	10.15%	$1,102
4	8%	5%	0.75%	8%	11.60%	$1,116
5	–4%	–3%	–3.61%	0%	0.00%	$1,000

As described above, the Basket Return for each Basket _n is equal to the sum of the Weighted Currency Returns for the Reference Currencies in that Basket _n. The examples below illustrate how the Basket Return for Basket 1 is calculated.

Example 1: IDR, SGD, MYR and INR each appreciate relative to their Initial Reference Currency Rate, resulting in a Basket Return of 0.0883, or 8.83%.

Reference Currency			Initial Reference Currency Rate
(on Trade Date)	Weighting		Settlement Rate
(on Valuation Date)			Weighted Currency Return
IDR		9179		25%	8628	0.0160
SGD		1.4513		25%	1.3497	0.0188
MYR		3.3544		25%	3.0525	0.0247
INR		39.29		25%	35.23	0.0288
Basket Return = Sum of Weighted Currency Returns =							0.0883

Example 2: SGD and MYR depreciate and IDR and INR appreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of 0.0142, or 1.42%.

Reference Currency			Initial Reference Currency Rate
(on Trade Date)	Weighting		Settlement Rate
(on Valuation Date)			Weighted Currency Return
IDR	9179	25%		7986	0.0374
SGD	1.4513	25%		1.5674	–0.0185
MYR	3.3544	25%		3.6563	–0.0206
INR	39.29	25%		36.93	0.0160
Basket Return = Sum of Weighted Currency Returns =						0.0142

PS-16

Example 3: IDR and SGD appreciate and MYR and INR depreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of 0.0108, or 1.08%.

Reference Currency				Initial Reference Currency Rate
(on Trade Date)		Weighting		Settlement Rate
(on Valuation Date)				Weighted Currency Return
IDR	9179		25%		8812	0.0104
SGD	1.4513		25%		1.4078	0.0077
MYR	3.3544		25%		3.4215	–0.0049
INR	39.29		25%		39.68	–0.0025
Basket Return = Sum of Weighted Currency Returns =						0.0108

Example 4: IDR and INR depreciate and SGD and MYR appreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of 0.0075, or 0.75%.

Reference Currency				Initial Reference Currency Rate
(on Trade Date)		Weighting		Settlement Rate
(on Valuation Date)				Weighted Currency Return
IDR	9179		25%		10097	–0.0227
SGD	1.4513		25%		1.3062	0.0278
MYR	3.3544		25%		3.1196	0.0188
INR	39.29		25%		42.04	–0.0164
Basket Return = Sum of Weighted Currency Returns =						0.0075

Example 5: IDR, SGD, MYR and INR each depreciate relative to their Initial Reference Currency Rate, resulting in a Basket Return of –0.0361, or –3.61%.

Reference Currency				Initial Reference Currency Rate
(on Trade Date)		Weighting		Settlement Rate
(on Valuation Date)				Weighted Currency Return
IDR	9179		25%		9546	–0.0096
SGD	1.4513		25%		1.5239	–0.0119
MYR	3.3544		25%		3.4550	–0.0073
INR	39.29		25%		40.47	–0.0073
Basket Return = Sum of Weighted Currency Returns =						–0.0361

PS-17

Title of Each Class of Securities Offered	Maximum Aggregate Offering Price		Amount of Registration Fee(1)(2)
Notes	$	3,000,000	$	92.10