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Published on 6/27/2008 in the Prospect News Structured Products Daily.

New Issue: Lehman prices $0.35 million 17% reverse convertibles linked to Companhia Vale

New York, June 27 - Lehman Brothers Holdings Inc. priced $0.35 million of 17% reverse convertible notes due Dec. 30, 2008 linked to Companhia Vale do Rio Doce shares, according to a 424B2 filing with the Securities and Exchange Commission.

Payout at maturity will be par in cash unless Companhia Vale shares fall below the protection price of $29.344, 80% of the initial price of $36.68, during the life of the notes and finish below the initial price in which case the payout will be Companhia Vale shares equal to $1,000 principal amount divided by the initial price.

Lehman Brothers is the agent.

Issuer:Lehman Brothers Holdings Inc.
Issue:Reverse convertible notes
Underlying stock:Companhia Vale do Rio Doce (Symbol: RIO)
Amount:$0.35 million
Maturity:Dec. 30, 2008
Coupon:17%, payable monthly
Price:Par
Payout at maturity:Par in cash unless Companhia Vale shares fall below the protection price of $29.344, 80% of the initial price, and finish below the initial price, in which case Companhia Vale shares equal to $1,000 principal amount divided by the initial price
Initial price:$36.68
Protection price:$29.344, 80% of $36.68
Pricing date:June 25
Settlement date:June 30
Agent:Lehman Brothers
Fees:2.04%

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