New Issue: Lehman prices $4.74 million buffered notes linked to Financial Select Sector SPDR fund

By Laura Lutz

Des Moines, Feb. 27 - Lehman Brothers Holdings Inc. priced $4.74 million of 0% buffered return enhanced notes due Feb. 28, 2010 linked to the shares of the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the final share price is at least the initial price, the payout at maturity will be par plus 200% of any appreciation in the shares, capped at a maximum return equal to 143.6% of par.

If the shares decline by up to 10%, the payout will be par. Investors will lose 1% for each 1% that the shares decline beyond 10%.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Buffered return enhanced notes
Underlying fund:	Financial Select Sector SPDR fund
Amount:	$4,738,000
Maturity:	Feb. 28, 2010
Coupon:	0%
Price:	If final share price is at least initial price, par plus 200% of any gain in shares, capped at 143.6% of par; par if share price declines by up to 10%; investors lose 1% for each 1% that the share price declines beyond 10%
Initial share price:	$27.20
Pricing date:	Feb. 22
Settlement date:	Feb. 29
Underwriter:	Lehman Brothers Inc.
Fees:	2.625%, including up to 2.05% for selling concessions

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