Published on 9/27/2007 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $7.22 million autocallable optimization securities tied to Gold BUGS via UBS
By Susanna Moon
Chicago, Sept. 27 - Lehman Brothers Holdings Inc. priced $7.22 million 0% autocallable optimization securities with contingent protection due March 30, 2009 linked to the Amex Gold BUGS index via UBS Financial Services Inc. and Lehman Brothers Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the index shows a gain on Dec. 26, March 25, 2008, June 25, 2008, Sept. 25, 2008, Dec. 26, 2008 and March 25, 2009.
If the notes are called, the redemption amount will be par plus 6.73% if called on Dec. 26, par plus 13.45% if called on March 25, 2008, par plus 20.18% if called on June 25, 2008, par plus 26.90% if called on Sept. 25, 2008, par plus 33.63% if called on Dec. 26, 2008 and par plus 40.35% if called on March 25, 2009.
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.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Autocallable optimization securities with contingent protection
|
| Underlying index: | Amex Gold BUGS index
|
| Amount: | $7,218,600
|
| Maturity: | March 30, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Automatically called if the index shows a gain on shows a gain on Dec. 26, March 25, 2008, June 25, 2008, Sept. 25, 2008, Dec. 26, 2008 and March 25, 2009
|
| Redemption amount: | Par plus 6.73% if called on Dec. 26, par plus 13.45% if called on March 25, 2008, par plus 20.18% if called on June 25, 2008, par plus 26.90% if called on Sept. 25, 2008, par plus 33.63% if called on Dec. 26, 2008 and par plus 40.35% if called on March 25, 2009
|
| Payout at maturity: | If the index falls below the barrier price during the life of the notes and finishes below the initial level, $1,000 divided by the initial price; otherwise, par
|
| Initial index level: | 391.47
|
| Contingent protection level: | 313.18, or 80% of initial index level
|
| Pricing date: | Sept. 25
|
| Settlement date: | Sept. 28
|
| Underwriters: | UBS Financial Services Inc. and Lehman Brothers Inc
|
| Fees: | 1.5%
|
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