Lehman to issue principal-protected range accrual notes linked to crude oil

By E. Janene Geiss

Philadelphia, Aug. 9 ? Lehman Brothers Holdings Inc. plans to price an issue of 18-month 100% principal-protected range accrual notes linked to the price of light sweet crude oil, according to an FWP filing with the Securities and Exchange Commission.

Payout at maturity will be par plus 12% times the number of days that the price of crude oil, expressed as dollars per barrel, is greater than or equal to the lower barrier and lower than or equal to the upper barrier. The lower barrier is expected to be 90% of the initial crude oil strike price and the upper barrier is expected to be 110% of the strike price. The exact range and interest will be determined at pricing.

If the price of crude oil is ever outside the range during the life of the notes, payout will be par.

The notes are expected to price and settle in August.

Lehman Brothers Inc. will be the underwriter.

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