New Issue: Lehman prices $1.306 million 0% return enhanced notes linked to 10 commodities, two indexes

By E. Janene Geiss

Philadelphia, June 18 - Lehman Brothers Holdings Inc. priced $1.306 million of 0% buffered return enhanced notes due Dec. 21, 2010 linked to 10 commodities and two commodity indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes 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, gold, all 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 payout at maturity will be par plus 196% any positive return on the index. Investors will receive par if the index declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Buffered return enhanced notes
Underlying assets:	Light sweet crude oil (15% weight), Henry Hub natural gas (10% weight), high grade primary aluminum (7% weight) copper grade A (7% weight), primary nickel (6% weight), RBOB gasoline (5% weight), No.2 fuel heating oil (5% weight), special high grade zinc (5% weight), standard lead (5% weight), gold (5% weight), S&P GSCI Livestock Index Excess Return (10% weight) and S&P GSCI Agriculture Index Excess Return (20% weight)
Amount:	$1.306 million
Maturity:	Dec. 21, 2010
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 196% positive return on the index; par if the index declines by 20% or less; investors will lose 1% for each 1% decline beyond 20%
Initial prices:	Light sweet crude oil (67.65), Henry Hub natural gas (7.808), high grade primary aluminum (2,650.5) copper grade A (7,372), primary nickel (41,100), RBOB gasoline (2.2247), No.2 fuel heating oil (2.0161), special high grade zinc (3,700.5), standard lead (2,335.5), gold (653.25), S&P GSCI Livestock Index Excess Return (374.8589) and S&P GSCI Agriculture Index Excess Return (68.18523).
Pricing date:	June 14
Settlement date:	June 21
Underwriter:	Lehman Brothers Inc.

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