New Issue: Lehman prices $3.12 million autocallable absolute return barrier notes linked to MSCI EAFE

By Jennifer Chiou

New York, Dec. 28 - Lehman Brothers Holdings Inc. priced $3.12 million of zero-coupon 100% principal-protected autocallable absolute return barrier notes due June 29, 2009 linked to the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par if the index ever closes below the lower barrier level or above the upper barrier level during the life of the notes. The lower and upper barrier levels are 14.45% below and above the initial index level, respectively.

If the notes are not called, the payout at maturity will be par plus the absolute value of the index return.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	100% principal-protected autocallable absolute return barrier notes
Underlying index:	MSCI EAFE
Amount:	$3,115,000
Maturity:	June 29, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus absolute value of the index return
Call:	At par if index closes below lower barrier or above upper barrier
Initial index level:	2,209.79
Upper index barrier:	2,529.10, 114.5% of initial level
Lower index barrier:	1,890.48, 85.5% of initial level
Pricing date:	Dec. 21
Settlement date:	Dec. 28
Underwriter:	Lehman Brothers Inc.
Fees:	1%

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