Published on 3/24/2008 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $5 million bearish securities linked to Energy Select Sector SPDR via UBS
By Laura Lutz
Des Moines, March 24 - Lehman Brothers Holdings Inc. priced a $5 million issue of bearish autocallable optimization securities with contingent protection due Sept. 24, 2009 linked to shares of the Energy Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
The notes will be called automatically if the shares close below their initial levels on any of the quarterly observation dates between June 2008 and September 2009. If the notes are called, the redemption amount will be par plus an annualized return of 24.6%.
If, during the life of the notes, the shares have ever closed above the trigger level - 140% of its initial level - the payout at maturity will be par minus 1% for each 1%, if any, that the final share level is above the initial level. Otherwise, the payout will be par.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Bearish autocallable optimization securities with contingent protection
|
| Underlying index: | Shares of Energy Select Sector SPDR Fund
|
| Amount: | $5,004,000
|
| Maturity: | Sept. 24, 2009
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par if shares stay below trigger level, 140% of starting level; otherwise, par times one minus the performance of the shares
|
| Initial level: | $70.70
|
| Trigger level: | $98.98, 140% of initial level
|
| Call: | On any observation date for par plus return equal to annual yield of 24.6% to the relevant observation date if the index shows a negative return
|
| Observation dates: | June 19, 2008, Sept. 19, 2008, Dec. 19, 2008, March 19, 2009, June 19, 2009 and Sept. 21, 2009
|
| Pricing date: | March 19
|
| Settlement date: | March 25
|
| Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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