Lehman Brothers to price return optimization securities linked to S&P 500 via UBS

By E. Janene Geiss

Philadelphia, Nov. 27 - Lehman Brothers Holdings Inc. plans to price return optimization securities with partial protection due June 30, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index performance is positive, the payout at maturity will be par plus double any gain on the index subject to a maximum return of 20% to 23%. The exact cap will be determined at pricing.

If the index declines by up to 10%, the payout will be par. Investors will lose 1% for each 1% that the index declines beyond 10%.

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

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

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