Lehman plans return optimization notes linked to S&P 500 Financials via UBS

By E. Janene Geiss

Philadelphia, May 15 - Lehman Brothers Holdings Inc. plans to price 0% return optimization securities with partial protection due May 28, 2010 linked to S&P 500 Financials Index, according to an FWP filing with the Securities and Exchange Commission.

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

The payout at maturity will be par of $10 plus double any gain on the index, subject to a maximum return of 37% to 41%. The exact cap will be determined at pricing. Investors will receive par for losses up to 20% and will share in losses beyond 20%.

The notes will price May 27 and settle May 30.

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