Lehman plans return optimization securities linked to index basket

By Jennifer Chiou

New York, March 6 - Lehman Brothers Holdings Inc. plans to price 0% return optimization securities due Sept. 30, 2009 linked to a basket of international indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 40% weight, the Russell 2000 index with a 20% weight, the MSCI EAFE index with a 20% weight, the Dow Jones Euro Stoxx 50 with a 10% weight and the Nasdaq 100 index with a 10% weight.

If the final basket level is at least the initial level, the payout at maturity will be par plus 300% of any gain on the basket, capped at a maximum payout that will be between 122.05% and 125.05% of par. The exact cap will be set at pricing.

Otherwise, the payout will be par minus the basket decline.

The securities are expected to price on March 25 and settle on March 31.

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

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