Lehman plans return optimization securities linked to index basket

By Jennifer Chiou

New York, Nov. 26 - Lehman Brothers Holdings Inc. plans to price 0% return optimization securities due June 30, 2009 linked to a basket of international indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Dow Jones Euro Stoxx 50 index with a 35% weight, the FTSE 100 index with a 25% weight, the Nikkei 225 index with a 25% weight, the Swiss Market index with a 5% weight, the S&P/ASX 200 index with a 5% weight and the MSCI Emerging Markets index with a 5% weight.

If the final basket level is at least the initial level, the payout at maturity will be par plus 300% of any gain on the basket, capped at a maximum payout that will be between 127% and 130% of par. The exact cap will be set at pricing.

Otherwise, the payout will be par minus the basket decline.

The securities are expected to price on Dec. 21 and settle on Dec. 31.

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

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