Lehman plans relative performance securities linked to Consumer Staples, Consumer Discretionary funds

By Angela McDaniels

Tacoma, Wash., Feb. 7 - Lehman Brothers Holdings Inc. plans to price 0% relative performance securities due Aug. 31, 2009 linked to the performance of the Consumer Staples Select Sector SPDR fund versus the Consumer Discretionary Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

If the Consumer Staples fund return is greater than the Consumer Discretionary fund return, the payout at maturity will be par of $10 plus the difference between the two returns multiplied by the participation rate, which is expected to be 125% to 135% and will be determined at pricing.

If the Consumer Discretionary fund return is greater than the Consumer Staples fund return, the payout at maturity will be par minus the difference between the two returns.

The notes will price on Feb. 26 and settle on Feb. 29.

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

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