New Issue: Lehman prices $2.72 million buffered return enhanced notes linked to four indexes

By Susanna Moon

Chicago, Nov. 26 - Lehman Brothers Holdings Inc. priced $2.72 million of 0% buffered return enhanced notes due May 31, 2011 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket contains the S&P 500 index with a 30% weight, Dow Jones Euro Stoxx 50 index with a 30% weight, the Nikkei 225 index with a 30% weight and the Hang Seng index with a 10% weight.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus 118% of the basket gain.

Investors will receive par if the final basket level declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Buffered return enhanced notes
Underlying indexes:	S&P 500 index (30% weight), Dow Jones Euro Stoxx 50 index (30% weight), the Nikkei 225 index (30% weight) and the Hang Seng index (10% weight)
Amount:	$2,724,000
Maturity:	May 31, 2011
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 118% of any basket gain; par if basket falls by 20% or less; 1% loss for each 1% decline beyond 20%
Initial index levels:	1,416.77 for S&P; 4,195.58 Euro Stoxx; 14,837.66 for Nikkei; and 26,618.19 for Hang Seng
Pricing date:	Nov. 21
Settlement date:	Nov. 29
Underwriter:	Lehman Brothers Inc.
Fees:	3.17%

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