New Issue: Lehman prices $17.02 million return optimization securities on S&P 500 Financials via UBS

By Susanna Moon

Chicago, May 29 - Lehman Brothers Holdings Inc. priced $17.02 million 0% return optimization securities with partial protection due May 28, 2010 linked to the S&P 500 Financials index, according to a 424B2 filing with the Securities and Exchange Commission.

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

The payout at maturity will be par of $10 plus double any gain on the index, up to a maximum payout of 142.7% of par.

If the index declines by up to 20%, the payout will be par. Investors will lose 1% for each 1% decline beyond 20%.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Return optimization securities with partial protection
Underlying index:	S&P 500 Financials index
Amount:	$17,018,280
Maturity:	May 28, 2010
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If final index level is at least initial level, par plus 200% of any index gain, capped at 142.7% of par; par if index declines by up to 20%; investors lose 1% for each 1% drop beyond 20%
Initial level:	332.38
Pricing date:	May 27
Settlement date:	May 30
Underwriters:	UBS Financial Services Inc.; Lehman Brothers Inc.
Fees:	2%

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