New Issue: Lehman Brothers prices $4.05 million return optimization securities linked to six indexes

By Laura Lutz

Des Moines, Nov. 29 - Lehman Brothers Holdings Inc. priced $4.05 million of 0% return optimization securities due May 29, 2009 linked to a basket of six indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Dow Jones Euro Stoxx 50 index with a 35% weight, the FTSE 100 index with a 25% weight, the Nikkei 225 index with a 25% weight, the Swiss Market index with a 5% weight, the S&P/ASX 200 index with a 5% weight and the MSCI Emerging Markets index with a 5% weight.

If the final basket level is at least the initial level, the payout at maturity will be par plus 300% of any gain on the index, capped at a payout equal to 129% of par.

Otherwise, the payout will be par times the index performance.

UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Return optimization securities
Underlying indexes:	Dow Jones Euro Stoxx 50 index with 35% weight, FTSE 100 index with 25% weight, Nikkei 225 index with 25% weight, Swiss Market index with 5% weight, S&P/ASX 200 index with 5% weight and MSCI Emerging Markets index with 5% weight
Amount:	$4,045,800
Maturity:	May 29, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	If final index level is at least initial level, par plus 300% of any index gain, capped at payout of 129% of par; otherwise, par times index performance
Pricing date:	Nov. 27
Settlement date:	Nov. 30
Underwriters:	UBS Financial Services Inc.; Lehman Brothers Inc.
Fees:	1.75%

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