Lehman to price return enhanced notes linked to commodities basket

By Angela McDaniels

Seattle, April 30 - Lehman Brothers Holdings Inc. plans to price an offering of 0% buffered return enhanced notes due Nov. 24, 2010 linked to a basket of 10 commodities and two commodity indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket will include the GSCI Agriculture Excess Return index with a 20% weight, the GSCI Livestock Excess Return index with a 10% weight, light sweet crude oil with a 15% weight, Henry Hub natural gas with a 10% weight, high grade primary aluminum with a 7% weight, grade A copper with a 7% weight, primary nickel with a 6% weight and RBOB gasoline, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, each with a 5% weight.

The payout at maturity will be par plus any basket gain multiplied by the participation rate, which will be 185% to 215% and will be determined at pricing. Investors will receive par if the basket drops by 20% or less and will lose 1% for each 1% decline beyond 20%.

The notes are expected to price on May 17 and settle on May 24.

Lehman Brothers Inc. will be the underwriter.

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