Published on 12/19/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $37.81 million bearish securities on S&P Consumer Discretionary via UBS
By Jennifer Chiou
New York, Dec. 19 - Lehman Brothers Holdings Inc. priced a $37.81 million issue of bearish autocallable optimization securities with contingent protection due June 30, 2009 linked to the S&P 500 Consumer Discretionary index, according to a 424B2 filing with the Securities and Exchange Commission.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
The notes will be automatically called if the index shows a negative return on any of the quarterly observation dates between March 2008 and June 2009. If the notes are called, the redemption amount will be par of $10 plus an annualized return of 30%.
If, during the life of the notes, the index has ever closed above the trigger level - 140% of its initial level - the payout at maturity will be par minus 1% for each 1%, if any, that the final index level is above the initial index level. Otherwise, the payout will be par.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Bearish autocallable optimization securities with contingent protection
|
| Underlying index: | S&P 500 Consumer Discretionary
|
| Amount: | $37,808,210
|
| Maturity: | June 30, 2009
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par if index stays below trigger level, 140% of starting level; otherwise, par times one minus the performance of the index
|
| Initial index: | 259.23
|
| Trigger level: | 362.92, 140% of 259.23
|
| Call: | On any observation date for par plus return equal to annual yield of 30% to the relevant observation date if the index shows a negative return
|
| Observation dates: | March 25, 2008, June 25, 2008, Sept. 25, 2008, Dec. 26, 2008, March 25, 2009 and June 25, 2009
|
| Pricing date: | Dec. 17
|
| Settlement date: | Dec. 31
|
| Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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