New Issue: Lehman prices $16.8 million return optimization securities linked to six indexes

By Angela McDaniels

Seattle, Sept. 28 - Lehman Brothers Holdings Inc. priced $16.8 million of 0% return optimization securities due March 31, 2009 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

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

The payout at maturity will be par of $10 plus triple any basket gain, subject to a maximum return of 29.7%. Investors will be fully exposed to any index decline.

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 (35% weight), FTSE 100 (25% weight), Nikkei 225 (25% weight), Swiss Market (5% weight), S&P/ASX 200 (5% weight) and MSCI Emerging Markets (5% weight)
Amount:	$16,785,040
Maturity:	March 31, 2009
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 3% for each 1% basket gain, capped at maximum return of 29.7%; 1% loss for each 1% basket decline
Pricing date:	Sept. 25
Settlement date:	Sept. 28
Underwriters:	UBS Financial Services Inc. and Lehman Brothers Inc.
Fees:	1.75%

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