New Issue: Lehman prices $6.765 million 0% buffer notes linked to Nikkei 225 index

By Jennifer Chiou

New York, March 30 - Lehman Brothers Holdings Inc. priced a $6.765 million issue of 0% absolute buffer notes due March 31, 2009 linked to the Nikkei 225 index, according to a 424B5 filing with the Securities and Exchange Commission.

Payout at maturity will be 157% of any gain on the index to be measured on March 26, 2009, the valuation date. If the index loses up to 10%, the notes will pay par plus the absolute value of the change in the index. Investors will participate fully in losses if the index falls by more than 10%.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Absolute buffer senior notes
Underlying index:	Nikkei 225
Amount:	$6.765 million
Greenshoe:	$1,014,750
Maturity:	March 31, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	If index return is positive, par plus 157% of gain in index; if index return is negative but it falls by no more than 10% then par plus absolute amount of return on index; if index falls by more than 10% then full participation in loss
Pricing date:	March 28
Settlement:	March 31
Underwriter:	Lehman Brothers

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