Lehman to price 0% buffered return enhanced notes linked to 10 commodities and two commodity indexes

By E. Janene Geiss

Philadelphia, Nov. 5 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due May 31, 2011 linked to a basket of 10 commodities and two commodity indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of light sweet crude oil with a 15% weight, Henry Hub natural gas with a 10% weight, high grade primary aluminum and copper - grade A, both with a 7% weight, primary nickel with a 6% weight, reformulated gasoline blendstock for oxygen blending, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, all with a 5% weight, along with the S&P GSCI Livestock Index Excess Return with a 10% weight and the S&P GSCI Agriculture Index Excess Return with a 20% weight.

The payout at maturity will be par 175% to 205% of any index gain with the exact participation rate to be set at pricing.

The payout will be par for up to a 20% decline in the index. Beyond a 20% drop, investors will lose 1% for each 1% loss in the index.

The notes are expected to price Nov. 21 and settle Nov. 29.

Lehman Brothers Inc. will be the underwriter.

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