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

By Laura Lutz

Des Moines, Nov. 13 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal-protected return-enhanced notes due May 2011 linked to a basket consisting of an index fund and a commodity component.

The index fund is the iShares MSCI Emerging Markets index fund, and it will be weighted between 30% and 35%.

The commodity component will be weighted between 65% and 70%.

The commodity basket will consist of light sweet crude oil with a 15% weight within the commodity basket, Henry Hub natural gas with a 10% weight, reformulated gasoline blendstock for oxygen blending with a 5% weight, number 2 fuel heating oil with a 5% weight, high grade primary aluminum with a 7% weight, copper - grade A with a 7% weight, primary nickel with a 6% weight, special high grade zinc with a 5% weight, standard lead with a 5% weight, gold with a 5% weight, 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 plus 102% of any gain on the basket. Investors will receive at least par.

The notes are expected to price and settle in November.

Lehman Brothers Inc. is the underwriter.

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