New Issue: Lehman prices $3 million buffered return enhanced notes linked to S&P 500

By Susanna Moon

Chicago, Oct. 2 - Lehman Brothers Holdings Inc. priced $3.05 million of 0% buffered return enhanced notes due Oct. 3, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 200% of any index gain, capped at a 41% maximum return. If the index falls up to 10%, the payout will be par. Beyond a 10% decline, investors will lose 1.11111% for each 1% loss.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Buffered return enhanced notes
Underlying index:	S&P 500
Amount:	$3.05 million
Maturity:	Oct. 3, 2010
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 200% of any index gain, capped at 41% maximum return; par if index falls by 10% or less; 1.11111% loss for each 1% decline beyond 10%
Initial index level:	1,526.75
Pricing date:	Sept. 28
Settlement date:	Oct. 3
Underwriter:	Lehman Brothers Inc.
Fees:	1.5%

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