Published on 3/28/2008 in the Prospect News Structured Products Daily.
New Issue: Lehman prices $7.56 million bearish autocallable notes linked to Energy Select Sector SPDR
By Angela McDaniels
Tacoma, Wash., March 28 - Lehman Brothers Holdings Inc. priced $7.56 million of 0% bearish autocallable optimization securities with contingent protection due Sept. 30, 2009 linked to the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the closing price of the exchange-traded fund is at or below its starting level on any observation date. The yield to call is 23.2%, and 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 of $10 if the fund stays at or below the trigger level - 140% of the fund's starting level - throughout the life of the notes. If the fund has ever closed above the trigger level, the payout will be par minus 1% for each 1% that the final share price is greater than the initial price.
UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Bearish autocallable optimization securities with contingent protection
|
| Underlying ETF: | Energy Select Sector SPRD fund (Symbol: XLE)
|
| Amount: | $7,556,450
|
| Maturity: | Sept. 30, 2009
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If the shares remain at or below the trigger level during the life of the notes, par; otherwise, par minus 1% for each 1% share price gain
|
| Call: | Automatically if the shares close at or below the initial share price on an observation date; yield to call is 23.2%; observation dates are June 25, 2008, Sept. 25, 2008, Dec. 26, 2008, March 26, 2009, June 25, 2009 and Sept. 25, 2009
|
| Initial share price: | $74.35
|
| Trigger price: | $104.09, 140% of initial share price
|
| Pricing date: | March 26
|
| Settlement date: | March 31
|
| Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
|
| Fees: | 1.5%
|
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