By Susanna Moon
Chicago, July 28 - Lehman Brothers Holdings Inc. priced another $620,000 of zero-coupon 100% principal-protected notes due Aug. 7, 2012 linked to the Lehman Brothers Commodity Based Alpha Trading Strategies I, according to an FWP filing with the Securities and Exchange Commission.
The add-on brings the issue to $2.32 million. Lehman priced $1.7 million of the notes on July 23.
ComBATS I is designed to be a monthly resetting market neutral alpha strategy that reflects the difference between the monthly returns on a basket consisting of a long position in the Lehman Brothers Commodity Index Pure Beta Excess Returns of 10 single-commodity sub-indexes and a short position in the Lehman Brothers Commodity Index Excess Return single-commodity sub-indexes for the same 10 commodities.
The payout at maturity will be par plus 225% of the strategy performance, subject to a floor of par.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Principal-protected notes
|
| Underlying index: | Lehman Brothers Commodity Based Alpha Trading Strategies I
|
| Amount: | $2.32 million, upsized from $1.7 million
|
| Maturity: | Aug. 7, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 225% of any index gain; floor of par
|
| Initial index level: | 124.3743
|
| Pricing date: | July 23 for $1.7 million; July 25 for $620,000
|
| Settlement date: | Aug. 7
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 1.8%
|
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