Lehman to price performance securities linked to Nikkei 225

By Angela McDaniels

Seattle, July 26 - Lehman Brothers Holdings Inc. plans to price an issue of 0% performance securities with contingent protection due Aug. 31, 2012 linked to the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on Aug. 28 and settle on Aug. 31.

The payout at maturity will be par of $10 plus any index gain multiplied by the participation rate, which will be 165% to 175% and will be set at pricing.

If the final index level is less than the initial index level, the payout will be par if the index never closed below the trigger level - 50% of the initial level - during the life of the notes. Otherwise, investors will be fully exposed to the index decline.

UBS Financial Services Inc. and Lehman Brothers Inc. will be the underwriters.

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