New Issue: Lehman prices $5.98 million enhanced participation notes linked to index basket

By Laura Lutz

Des Moines, June 27 - Lehman Brothers Holdings Inc. priced a $5.98 million issue of enhanced participation notes due June 28, 2010 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket contains the Dow Jones Euro Stoxx 50 index with a 35.42% weighting, the FTSE 100 index with a 33.97% weighting, the Nikkei 225 index with a 21.42% weighting and the S&P/ASX 200 index with a 9.19% weighting.

If the ending basket level is at least the starting level, the payout will be par plus 130% of the basket return.

If the basket level declines by up to 20%, the payout will be par. Investors will lose 1% for every 1% drop in the basket beyond 20%.

Lehman Brothers Inc. will be the agent for the offering.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Enhanced participation notes
Underlying indexes:	35.42% weighting of the Dow Jones Euro Stoxx 50 index, 33.97% weighting of the FTSE 100 index, 21.42% weighting of the Nikkei 225 index, 9.19% weighting of the S&P/ASX 200 index
Amount:	$5.98 million
Maturity:	June 28, 2010
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 130% of any positive return if final basket level is at least starting level; par if basket declines by up to 20%; share in losses beyond 20%
Upside participation rate:	130%
Initial index levels:	4,471.13 for Euro Stoxx 50, 6,588.40 for FTSE 100, 18,087.48 for Nikkei 225, 6,329.80 for S&P/ASX 200
Pricing date:	June 25
Settlement date:	June 28
Underwriter:	Lehman Brothers Inc.
Fees:	2.5%

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