New Issue: Lehman prices $5.07 million performance securities linked to indexes via UBS

By Susanna Moon

Chicago, May 20 - Lehman Brothers Holdings Inc. priced $5.07 million of 0% performance securities with partial protection due Nov. 30, 2011 linked to a global index basket, according to an FWP 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 with a 35% weight, Russell 2000 with a 20% weight, Dow Jones Euro Stoxx 50 with a 15% weight, FTSE 100 with a 10% weight, Nikkei 225 with a 10% weight, MSCI Emerging Markets with a 5% weight, Swiss Market with a 2.5% weight and S&P/ASX 200 with a 2.5% weight.

Payout at maturity will be par of $10 plus 132.68% of any gain in the basket.

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

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Performance securities with partial protection
Underlying indexes:	S&P 500 (35% weight), Russell 2000 (20% weight), Dow Jones Euro Stoxx 50 (15% weight), FTSE 100 (10% weight), Nikkei 225 (10% weight), MSCI Emerging Markets (5% weight), Swiss Market (2.5% weight) and S&P/ASX 200 (2.5% weight)
Amount:	$5,070,930
Maturity:	Nov. 30, 2011
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 132.68% of any basket gain; 1% loss for each 1% decline beyond 10%
Pricing date:	May 16
Settlement date:	May 21
Underwriters:	UBS Financial Services Inc., Lehman Brothers Inc.
Fees:	2.5%

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