New Issue: Lehman prices $51.57 million return optimization securities linked to S&P 500 via UBS

By Laura Lutz

Des Moines, Feb. 28 - Lehman Brothers Holdings Inc. priced $51.57 million 0% return optimization securities with partial protection due Aug. 31, 2009 linked to the MSCI Emerging Markets index, according to an FWP filing with the Securities and Exchange Commission.

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

If the final index level is at least the initial level, the payout at maturity will be par plus 200% of any gain on the index, capped at a maximum payout equal to 120.17% of par.

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

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Return optimization securities with partial protection
Underlying index:	S&P 500 index
Amount:	$51,565,320
Maturity:	Aug. 31, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	If final index level is at least initial level, par plus 200% of any index gain, capped at payout equal to 120.17% of par; par if index declines by up to 10%; investors lose 1% for each 1% that index declines beyond 10%
Initial level:	1,381.29
Pricing date:	Feb. 26
Settlement date:	Feb. 29
Underwriters:	UBS Financial Services Inc.; Lehman Brothers Inc.
Fees:	1.75%

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