Lehman to price 0% autocallable optimization securities linked to S&P via UBS

By E. Janene Geiss

Philadelphia, Aug. 22 - Lehman Brothers Holdings Inc. plans to price 0% autocallable optimization securities with contingent protection linked to the S&P 500 index via UBS Financial Services Inc. and Lehman Brothers Inc., according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to mature on Sept. 19, 2008. They are expected to price Sept. 13 and settle Sept. 18.

The notes will be automatically called if the index shows a positive return on any of the quarterly observation dates between December 2007 and September 2008. If the notes are called, the redemption amount will be par of $10.00 plus a return expected to be between 21% and 25%, with the exact return to be determined at pricing.

If the notes are not called, the payout at maturity will be par unless the index closes at or below the contingent protection level, 80% of the initial level, during the life of the notes and finishes below the initial index level, in which case investors will share in any losses.

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