Lehman plans enhanced participation notes linked to 10 commodities

By E. Janene Geiss

Philadelphia, Oct. 10 - Lehman Brothers Holdings Inc. plans to price three-year zero-coupon enhanced participation notes linked to a basket of 10 commodities, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (10%) of light sweet crude oil, No. 2 fuel heating oil, copper - grade A, primary nickel, special high grade zinc, sugar No. 11, cocoa, coffee robusta, class III milk and No. 2 wheat.

The payout at maturity will be par plus 200% of any basket gain. If the notes decline by 15% or less, payout will be par. Investors will be fully exposed to any decline beyond 15%.

Pricing and settlement dates are yet to be determined.

Lehman Brothers Inc. is the underwriter.

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