Lehman to price 0% notes linked to Dow Jones - AIG Commodity index

By E. Janene Geiss

Philadelphia, Nov. 20 - Lehman Brothers Holdings Inc. plans to price 0% three-year notes linked to the Dow Jones - AIG Commodity Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 147% of any positive index return. The exact participation rate will be determined at pricing.

The payout is protected up to a 20% decline in the index. Investors will lose 1% for each 1% the index declines beyond 20%.

Lehman Brothers Inc. will be the underwriter.

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