Lehman to price performance securities linked to index basket via UBS

By E. Janene Geiss

Philadelphia, Nov. 16 - Lehman Brothers Holdings Inc. plans to price 0% performance securities with partial protection due Nov. 14, 2012 linked to a basket of indexes, 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, the Russell 2000 with a 20% weight, the FTSE 100 with a 10% weight, the Nikkei 225 with a 10% weight, the MSCI Emerging Markets with a 5% weight, the Swiss Market with a 2.5% weight and the S&P/ASX 200 with a 2.5% weight.

The payout at maturity will be par of $10 plus any increase in the basket level multiplied by a participation rate that will be determined at pricing and is expected to be between 118.25% and 120.25%.

Investors will receive par if the basket falls by 10% or less and will lose 1% for each 1% decline beyond 10%.

The notes will price Nov. 20 and settle Nov. 26.

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