New Issue: Lehman prices $3.5 million protected return enhanced notes linked to index fund, commodities

By Jennifer Chiou

New York, Nov. 15 - Lehman Brothers Holdings Inc. priced $3.5 million of zero-coupon 100% principal-protected return enhanced notes due May 16, 2011 linked to a basket with an index fund component and a commodity component, according to an FWP filing with the Securities and Exchange Commission.

The index fund component includes the iShares MSCI Emerging Markets index fund.

The commodity component includes light sweet crude oil with a 15% weight, Henry Hub natural gas with a 10% weight, reformulated gasoline blendstock for oxygen blending with a 5% weight, No. 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 index fund holds a 33% weight in the basket while the commodity component has a 67% weight.

The payout at maturity will be par plus 102% of any positive return on the basket. Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	100% principal-protected return enhanced notes
Underlying basket:	Index fund component includes the iShares MSCI Emerging Markets index fund; commodity component includes light sweet crude oil (15% weight), Henry Hub natural gas (10% weight), reformulated gasoline blendstock for oxygen blending (5% weight), No. 2 fuel heating oil (5% weight), high-grade primary aluminum (7% weight), copper - grade A (7% weight), primary nickel (6% weight), special high-grade zinc (5% weight), standard lead (5% weight), gold (5% weight), S&P GSCI Livestock Index Excess Return (10% weight), S&P GSCI Agriculture Index Excess Return (20% weight); index fund has 33% weight, and commodity component has 67% weight
Amount:	$3.5 million
Maturity:	May 16, 2011
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 102% of any positive return on the basket; floor of par
Pricing date:	Nov. 13
Settlement date:	Nov. 16
Underwriter:	Lehman Brothers Inc.
Fees:	2.25%

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