Lehman plans autocallable notes linked to S&P 500 Financials

By Laura Lutz

Des Moines, Jan. 29 - Lehman Brothers Holdings Inc. plans to price 0% autocallable optimization securities with contingent protection due Aug. 10, 2009 linked to the S&P 500 Financials 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 above 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 20% and 23% with the exact level to be set at pricing.

The observation dates are May 5, 2008, Aug. 5, 2008, Nov. 5, 2008, Feb. 5, 2009, May 5, 2009 and Aug. 5, 2009.

At maturity, investors will receive par if the index stays above the trigger level - 50% of the index's starting level - during the life of the notes. If the index has ever closed below the trigger level, the payout will be par plus the index return.

The notes are expected to price on Feb. 5 and settle on Feb. 8.

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

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