Lehman to price performance securities with partial protection linked to index basket via UBS

By E. Janene Geiss

Philadelphia, March 24 - Lehman Brothers Holdings Inc. plans to price performance securities with partial protection due March 28, 2013 linked to a global index basket, according to an FWP filing with the Securities and Exchange Commission.

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

The basket includes the S&P 500, Dow Jones Euro Stoxx 50 and FTSE 100 indexes, each with a 20% weight, along with the Nikkei 225 and the MSCI Emerging Markets indexes, each with a 10% weight, and the Hang Seng China Enterprises, Korea Stock Price 200, MSCI Taiwan and the MSCI Singapore Free indexes, each with 5% weight.

If the basket return is greater than zero, the payout at maturity will be par plus 124% to 125.65% of any gain on the basket. The exact participation rate will be determined at pricing.

If the basket declines by 25% or less, the payout will be par. Investors will lose 1% for each 1% that the basket declines beyond 25%.

The securities are expected to price March 25 and settle March 28.

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