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Lehman to price performance securities with partial protection linked to index basket via UBS
By Susanna Moon
Chicago, May 6 - Lehman Brothers Holdings Inc. plans to price 0% performance securities with partial protection due Nov. 30, 2011 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 consists of the S&P 500 with a 35% weight, Russell 2000 with a 20% weight, Dow Jones Euro Stoxx 50 with a 15% weight, FTSE 100 with a 10% weight, Nikkei 225 with a 10% weight, MSCI Emerging Markets with a 5% weight, Swiss Market with a 2.5% weight and S&P/ASX 200 with a 2.5% weight.
Payout at maturity will be par of $10 plus 122.5% to 132.5% of any gain in the basket, with the exact participation rate to be set at pricing.
If the basket falls by up to 10%, the payout will be par. Investors will lose 1% for each 1% decline beyond 10%.
The notes are expected to price on May 16 and settle on May 21.
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