Lehman Brothers to price 100% principal protected participation notes linked to gold

By Laura Lutz

Des Moines, Oct. 4 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected capped participation notes linked to crude oil, according to an FWP filing with the Securities and Exchange Commission.

The notes will mature in three years.

If the final price of oil is at least its initial price, the payout at maturity will be par plus double any positive return on gold, capped at a maximum payout that will be between 120% and 130% of par. The exact cap will be set at pricing.

Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

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