New Issue: Lehman Brothers prices $4.1 million securities linked to five indexes via UBS

By Laura Lutz

Des Moines, April 3 - Lehman Brothers Holdings Inc. priced $4.1 million of 0% return optimization securities due Oct. 6, 2009 linked to a basket of five indexes, according to a 424B2 filing with the Securities and Exchange Commission.

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

The basket consists of the S&P 500 index with a 40% weight, the Russell 2000 index with a 20% weight, the MSCI EAFE index with a 20% weight, the Dow Jones Euro Stoxx 50 index with a 10% weight and the Nasdaq 100 index with a 10% weight.

If the final basket level is at least the initial level, the payout at maturity will be par plus 300% of any gain on the basket, capped at a payout equal to 124.6% of par.

Otherwise, the payout will be par times the basket performance.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Return optimization securities
Underlying indexes:	S&P 500 index with 40% weight, Russell 2000 index with 20% weight, MSCI EAFE index with 20% weight, Dow Jones Euro Stoxx 50 index with 10% weight and Nasdaq 100 index with 10% weight
Amount:	$4,102,500
Maturity:	Oct. 6, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	If final basket level is at least initial level, par plus 300% of any basket gain, capped at payout of 124.6% of par; otherwise, par times basket performance
Pricing date:	April 1
Settlement date:	April 4
Underwriters:	UBS Financial Services Inc.; Lehman Brothers Inc.
Fees:	1.75%

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