Lehman Brothers to price principal-protected return-enhanced notes linked to commodity basket

By Laura Lutz

Des Moines, Oct. 1 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected return-enhanced notes due Oct. 8, 2010 linked to a basket of 10 commodities, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights of light sweet crude oil, number 2 fuel heating oil, copper - grade A, primary nickel, special high-grade zinc, number 11 world sugar, cocoa, coffee robusta, class III milk and number 2 wheat.

The payout at maturity will be par pus 125% of any gain on the basket. Investors will receive at least par.

The notes are expected to price on Oct. 3 and settle on Oct. 10.

Lehman Brothers Inc. is the underwriter.

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