New Issue: Lehman prices $21.8 million performance securities linked to three indexes

By Angela McDaniels

Seattle, Sept. 28 - Lehman Brothers Holdings Inc. priced $21.8 million of 0% performance securities with partial protection due Sept. 30, 2010 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 33.34% weight, the Dow Jones Euro Stoxx 50 index with a 33.33% weight and the Nikkei 225 index with a 33.33% weight.

The payout at maturity will be par of $10 plus 115.3% of any basket gain. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

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

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Performance securities with partial protection
Underlying indexes:	S&P 500 (33.34% weight), Dow Jones Euro Stoxx 50 (33.33% weight) and Nikkei 225 (33.33% weight)
Amount:	$21,821,000
Maturity:	Sept. 30, 2010
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 115.3% of any basket gain; par if basket falls by 20% or less; 1% loss for each 1% decline beyond 20%
Initial index levels:	1,517.21 for S&P 500; 4,328.89 for Euro Stoxx 50; 16,401.73 for Nikkei 225
Pricing date:	Sept. 25
Settlement date:	Sept. 28
Underwriters:	UBS Financial Services Inc. and Lehman Brothers Inc.
Fees:	2.5%

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