Lehman to price principal protection notes linked to iShares MSCI Emerging Markets fund, commodities

By E. Janene Geiss

Philadelphia, Dec. 18 - Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon 100% principal protection notes due March 30, 2012 linked to a basket containing a fund component and a commodities component, according to an FWP filing with the Securities and Exchange Commission.

The fund component, which represents 30% of the basket, consists of the iShares MSCI Emerging Markets Index Fund.

The commodities component, which represents 70% of 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, RBOB gasoline, 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 plus 100% to 105% of any basket gain. The exact participation rate will be determined at pricing. Investors will receive at least par.

The notes will price Dec. 21 and settle Dec. 31.

Lehman Brothers Inc. will be the underwriter.

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