Lehman plans return optimization notes linked to five indexes

By Jennifer Chiou

New York, April 4 - Lehman Brothers Holdings Inc. plans to price 0% return optimization securities with partial protection due May 21, 2009 linked to a basket of five indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the S&P 500 with a 30% weight, the MSCI Emerging Markets index with a 30% weight, the Nasdaq 100 with a 20% weight, the Dow Jones Euro Stoxx 50 index with a 10% weight and the MSCI United Kingdom index with a 10% weight.

The payout at maturity will be par of $10 plus double any gain on the basket, subject to a maximum return of 14.2% to 15.2%. Investors will receive par for losses up to 10% and will share in losses beyond 10%.

The notes will price on April 18 and settle on April 23.

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

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