Lehman to price 0% buffered return enhanced notes linked to commodities basket

By Angela McDaniels

Seattle, May 24 - Lehman Brothers Holdings Inc. plans to price an offering of 0% buffered return enhanced notes due Dec. 21, 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 S&P GSCI Agriculture index - Excess Return with a 20% weight, light sweet crude oil with a 15% weight, the S&P GSCI Livestock index - Excess Return with a 10% 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, RBOB gasoline with a 5% weight, No. 2 fuel heating oil with a 5% weight, special high-grade zinc with a 5% weight, standard lead with a 5% weight and gold with a 5% weight.

The payout at maturity will be par plus any basket gain multiplied by the participation rate, which is expected to be 175% to 205% and will be determined at pricing. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

The notes will price on June 14 and settle on June 21.

Lehman Brothers Inc. will be the underwriter.

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