By Susanna Moon
Chicago, Aug. 1 - Lehman Brothers Holdings Inc. priced $433,000 of 100% principal protection conditional range notes due Aug. 5, 2010 linked to the price of gold, according to an FWP filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The notes will be subject to eight reference range periods, each a quarter long. For each period, the range upper boundary will be the price of gold on the starting day of each period plus $55. The lower boundary will equal the price minus $55.
If the price of gold stays within the reference range, the notes will make an interest payment of 10% for that period. If gold moves outside the range, the interest payment will be zero.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Principal-protected conditional range notes
|
| Underlying commodity: | Gold
|
| Amount: | $433,000
|
| Maturity: | Aug. 5, 2010
|
| Coupon: | 10% if gold price stays within reference range, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Upper boundary: | Gold price on starting day of reference period plus $55
|
| Lower boundary: | Gold price on starting day of reference period minus $55
|
| Pricing date: | July 31
|
| Settlement date: | Aug. 5
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 2.5%
|
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