New Issue: Lehman Brothers sells $2.21 million Rapids linked to S&P 500

By Jennifer Chiou

New York, May 31 - Lehman Brothers Holdings Inc. priced a $2.21 million issue of 0% senior unsecured notes due May 31, 2008 in the Return-Accelerated Portfolio Debt Securities (Rapids) structure linked to the S&P 500 index, according to a 424B5 filing with the Securities and Exchange Commission.

At maturity, the notes will pay par plus double any gain on the basket. The return will be capped at between $1,185.

If the basket loses up to 10%, payout at maturity will be par. If the basket loses more than 10%, payout at maturity will be par less 1.1111 times any loss over 10%.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Return-Accelerated Portfolio Debt Securities (Rapids) senior medium-term notes
Underlying index:	S&P 500
Amount:	$2.21 million
Greenshoe:	$331,500
Maturity:	May 31, 2008
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus double any gain on the basket, capped at $1,185; if final basket level is up to 10% below initial level, par; if final basket level is more than 10% below initial level, par less 1.111 times any loss over 10%
Pricing date:	May 26
Settlement date:	May 31
Underwriter:	Lehman Brothers Inc.

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