New Issue: Lehman prices $4.57 million bearish return-enhanced notes linked to S&P 500

By Laura Lutz

Des Moines, Aug. 8 - Lehman Brothers Holdings Inc. priced a $4.565 million issue of 0% capped bearish return-enhanced notes with knock-out level due Nov. 10, 2008 linked to the S&P 500, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is less than the initial level, the payout at maturity will be par plus four times the absolute value of the index decline, capped at a maximum return of 52.8%.

If the index increases, the payout will be par unless the index has closed above its knock-out level, 110% of the initial level, at any time during the life of the notes.

If such a knock-out event has occurred, investors will receive par minus any gain on the index. The payout has a floor of zero.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Capped bearish return-enhanced notes with knock-out level
Underlying index:	S&P 500
Amount:	$4.565 million
Maturity:	Nov. 10, 2008
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If index declines, par plus four times the absolute value of decline, capped at 52.8%; if index increases but does not close above 1,614.44 during the life of the notes, par; otherwise, par minus index gain; floor of zero
Initial index level:	1,467.67
Knock-out level:	1,614.44, 110% of 1,467.67
Pricing date:	Aug. 6
Settlement date:	Aug. 9
Underwriter:	Lehman Brothers Inc.
Fees:	1.15%

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