Lehman Brothers plans to price 0% return optimization notes linked to index basket via UBS

By E. Janene Geiss

Philadelphia, Aug. 28 - Lehman Brothers Holdings Inc. plans to price an offering of 0% return optimization securities due March 31, 2009 linked to a basket of indexes via UBS Investment Bank and Lehman Brothers Inc., according to an FWP filing with the Securities and Exchange Commission.

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

The notes are expected to price Sept. 25 and settle Sept. 29.

The payout at maturity will be par of $10.00 plus three times the absolute value of any increase in the basket, subject to a maximum gain that is expected to be 28% to 30% and will be determined at pricing. Investors are fully exposed to any decline in the basket.

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