Lehman to price 0% performance securities linked to index basket via UBS

By E. Janene Geiss

Philadelphia, June 25 - Lehman Brothers Holdings Inc. plans to price an offering of 0% performance securities with partial protection due July 30, 2010 linked to a basket of three indexes, according to an FWP filing with the Securities and Exchange Commission.

UBS Financial Services is the lead agent with Lehman Brothers Inc. as co-agent.

The basket consists of the S&P 500 index with a 33.34% weight, the Dow Jones Euro Stoxx 50 with a 33.33% weight and the Nikkei 225 with a 33.33% weight.

The notes are expected to price July 26 and settle July 31.

The payout at maturity will be par of $10.00 plus any percentage increase in the index level multiplied by the participation rate, which is expected to be 115% to 125% and will be determined at pricing.

If the final index level is equal to or less than the initial index level, the payout will be par unless the index level falls by more than 20% during the life of the securities, in which case investors will share in the index decline.

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