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

By Laura Lutz

Des Moines, Jan. 31 - Lehman Brothers Holdings Inc. plans to price return optimization securities with partial protection due Aug. 31, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

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

If the final index level is at least the initial level, the payout at maturity will be par plus 200% of any gain on the index, capped at a maximum payout that is expected to be between 118% and 121%. The exact cap will be set 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 on Feb. 26 and settle on Feb. 29.

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