Lehman plans bearish autocallable notes linked to Energy Select Sector SPDR fund

By Jennifer Chiou

New York, March 13 - Lehman Brothers Holdings Inc. plans to price 0% bearish autocallable optimization securities with contingent protection due Sept. 30, 2009 linked to the Energy Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called if the closing level of the fund 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 22% and 26% with the exact level to be set at pricing.

The observation dates are June 25, 2008, Sept. 25, 2008, Dec. 26, 2008, March 26, 2009, June 25, 2009 and Sept. 25, 2009.

At maturity, investors will receive par if the fund stays below the trigger level - 140% of the fund's starting level - during the life of the notes. If the fund has ever closed above the trigger level, the payout will be par times one minus the fund return.

The notes are expected to price on March 26 and settle on March 31.

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

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