Lehman plans return optimization securities linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 27 - Lehman Brothers Holdings Inc. plans to price 0% return optimization securities with partial protection due Sept. 30, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus double any index gain, subject to a maximum return that is expected to be 17.5% to 20.5% and will be determined at pricing. Investors will receive par if the index declines by 10% or less and will lose 1% for each 1% index decline beyond 10%.

The securities will price on March 26 and settle on March 31.

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

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