Lehman to price partially protected bearish securities linked to iShares real estate index fund

By E. Janene Geiss

Philadelphia, June 13 - Lehman Brothers Holdings Inc. plans to price an issue of bearish return optimization securities with partial protection due Aug. 29, 2008 linked to the iShares Dow Jones U.S. Real Estate Index Fund, according to an FWP filing with the Securities and Exchange Commission.

UBS Financial Services Inc. is the agent, along with Lehman Brothers Inc.

The notes are expected to price June 26 and settle June 29.

The payout at maturity will be par of $10 plus triple the absolute value of any negative return on the index up to a maximum return of between 19.5% and 22.5%, which will be determined at pricing.

If the index increases by less than 10%, the payout will be par. Investors will lose 1% for each 1% that the index increases beyond 10%.

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