By Jennifer Chiou
New York, Aug. 24 - Lehman Brothers Holdings Inc. priced a $10 million issue of 0% pyramid notes due Dec. 10, 2007 linked to the spot prices of gold and silver, according to an FWP filing with the Securities and Exchange Commission.
The gold upper and lower boundaries are $730.00 and $500.00, respectively. The silver upper and lower boundaries are 1,500 cents and 950 cents, respectively.
If the final prices for gold and silver are greater than the upper boundaries, the discount factor for each asset will be determined using the change in the final price relative to the upper boundary. If the final prices for gold and silver are lower than the lower boundaries, the discount factor for each asset will be determined using the change in the final price relative to the lower boundary.
At maturity, the payout will be par times 102.5% minus the discount factors for gold and silver, both of which are capped at 17.5%. Investors will share in any losses.
Lehman Brothers Inc. is the agent.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Pyramid notes
|
| Underlying assets: | Gold, silver
|
| Amount: | $10 million
|
| Maturity: | Dec. 10, 2007
|
| Coupon: | 0%
|
| Price: | Par of $10,000
|
| Payout at maturity: | Par times 102.5% minus the discount factors for gold and silver, capped at 17.5%; investors share in any losses
|
| Strike prices: | Gold at $659.50; silver at 1,168 cents
|
| Upper boundaries: | $730.00 for gold; 1,500 cents for silver
|
| Lower boundaries: | $500.00 for gold; 950 cents for silver
|
| Pricing date: | Aug. 22
|
| Settlement date: | Aug. 30
|
| Agent: | Lehman Brothers Inc.
|
| Fees: | 0.21%
|
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