New Issue: Lehman prices $18 million principal protection notes linked to index basket

By Angela McDaniels

Seattle, June 21 - Lehman Brothers Holdings Inc. priced an $18 million issue of zero-coupon 100% principal protection notes due June 22, 2012 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 60% weight, the MSCI EAFE index with a 35% weight and the MSCI Emerging Markets index with a 5% weight.

The payout at maturity will be par of $10 plus any basket gain. Investors will receive at least par.

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

Issuer:	Lehman Brothers Holdings Inc.
Issue:	100% principal protection notes
Underlying indexes:	S&P 500 (60% weight), MSCI EAFE (35% weight), MSCI Emerging Markets (5% weight)
Amount:	$18 million
Maturity:	June 22, 2012
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus any basket gain; floor of par
Initial index levels:	1,533.7 for S&P 500; 2,265.31 for MSCI EAFE; 1, 061.79 for MSCI Emerging Markets
Pricing date:	June 19
Settlement date:	June 22
Underwriters:	UBS Financial Services Inc., Lehman Brothers Inc.
Fees:	3.41%

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