New Issue: Lehman prices $30,000 absolute return barrier notes linked to S&P 500

By Jennifer Chiou

New York, Feb. 28 - Lehman Brothers Holdings Inc. priced $30,000 of zero-coupon 100% principal-protected absolute return barrier notes with contingent high-water mark absolute return due March 1, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index closes above or below its initial level by more than 23.5% during the life of the notes, the payout at maturity will be par.

Otherwise, the payout 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 absolute return barrier notes with contingent high-water mark absolute return
Underlying index:	S&P 500 index
Amount:	$30,000
Maturity:	March 1, 2010
Coupon:	0%
Price:	Par
Payout at maturity:	If index closes above the upper barrier or below the lower barrier, par; otherwise, par plus absolute value of index return
Initial index level:	1,381.29
Lower barrier:	1,705.89, 76.5% of par
Upper barrier:	1,056.69, 123.5% of par
Pricing date:	Feb. 26
Settlement date:	Feb. 29
Underwriter:	Lehman Brothers Inc.
Fees:	1.25%

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