Lehman plans bearish autocallable notes linked to S&P 500 Consumer Discretionary

By Laura Lutz

Des Moines, Jan. 7 - Lehman Brothers Holdings Inc. plans to price 0% bearish autocallable optimization securities with contingent protection due July 31, 2009 linked to the S&P 500 Consumer Discretionary index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called 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 of $10 plus a fixed annual return to the relevant observation date. The annual return will be between 27% and 31% with the exact level to be set at pricing.

The observation dates are April 25, 2008, July 28, 2008, Oct. 28, 2008, Jan. 27, 2009, April 27, 2009 and July 28, 2009.

At maturity, investors will receive par if the index stays below the trigger level - 130% 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 index return.

The notes are expected to price on Jan. 28 and settle on Jan. 31.

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

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