By Laura Lutz
Des Moines, May 30 - Lehman Brothers Holdings Inc. priced an $11.3 million issue of bearish autocallable optimization securities with contingent protection due Nov. 28, 2008 linked to the KBW Mortgage Finance index, according to a 424B2 filing with the Securities and Exchange Commission.
The index consists of 24 companies across several subsectors of the U.S. mortgage finance industry.
The notes will be automatically called at par plus interest if the closing level of the index is at or below its starting level on any observation date. The call price will be equal to par plus an annual return of 22% to the relevant observation date.
The observation dates are Aug. 24, 2007; Nov. 23, 2007; Feb. 22, 2008; May 22, 2008; Aug. 22, 2008; and Nov. 20, 2008.
At maturity, investors will receive par if the index stays below the trigger level - 120% of the index's starting level - during the life of the notes. If the index has ever closed above the trigger level, the payout will be par times one minus the performance of the index.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Bearish autocallable optimization securities with contingent protection
|
| Underlying index: | KBW Mortgage Finance
|
| Amount: | $11.3 million
|
| Maturity: | Nov. 28, 2008
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par if index stays below trigger level, 120% of starting level; otherwise, par times one minus the performance of the index
|
| Initial index: | 99.75
|
| Trigger level: | 119.70, 120% of 99.75
|
| Call: | May be called on any observation date for par plus return equal to annual yield of 22% to the relevant observation date
|
| Observation dates: | Aug. 24, 2007; Nov. 23, 2007; Feb. 22, 2008; May 22, 2008; Aug. 22, 2008; and Nov. 20, 2008
|
| Pricing date: | May 24
|
| Settlement date: | May 31
|
| Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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