Lehman plans absolute return barrier notes linked to index basket via UBS

By E. Janene Geiss

Philadelphia, March 7 - Lehman Brothers Holdings Inc. plans to price an issue of zero-coupon 100% principal protection absolute return barrier notes due Sept. 30, 2009 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

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

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

If the basket ever closes above the upper index barrier or below the lower index barrier, the payout at maturity will be par of $10. Otherwise, the payout will be par plus the absolute value of the index return.

The upper and lower index barriers are expected to be 17.75% to 20.75% above and below the initial index level, respectively. The exact barrier levels will be determined at pricing.

The notes are expected to price March 25 and settle March 31.

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