New Issue: Lehman prices $7.23 million 0% performance securities linked to S&P via UBS

By E. Janene Geiss

Philadelphia, Aug. 31 - Lehman Brothers Holdings Inc. priced $7,232,050 of 0% performance securities with contingent protection due Aug. 31, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

UBS Financial Services is the lead agent with Lehman Brothers Inc. as co-agent.

If the final index level is greater than the initial index level, the payout at maturity will be par of $10 plus 115.10% of the index gain. If the final index level is equal to or less than the initial index level, but did not close below a trigger level of 50% of the initial index level, investors will receive par.

If the index falls below the trigger level during the life of the notes, investors will share in any losses.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	0% performance securities with contingent protection
Underlying index:	S&P 500
Amount:	$7,232,050
Maturity:	Aug. 31, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 115.10% of any index gain; par if index falls less than 50% during the life of the notes and finishes at or below the initial index level; full exposure to loss if index drops more than 50%
Initial index level:	1,432.36
Trigger level:	716.18, 50% of 1,432.36
Pricing date:	Aug. 28
Settlement date:	Aug. 31
Underwriters:	UBS Financial Services Inc. (lead), Lehman Brothers Inc. (co-agent)
Fees:	3.5%

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