Lehman Brothers to price principal protection income notes linked to 10 commodities

By E. Janene Geiss

Philadelphia, July 16 - Lehman Brothers Holdings Inc. plans to price an issue of three-year 100% principal protection income notes due linked to a basket of 10 commodities, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights (10%) of Brent crude oil, No. 2 heating oil, copper - grade A, primary nickel, special high grade zinc, gold, No. 11 world sugar, coffee robusta, class III milk and lean hogs.

Investors will receive an annual interest payment of between 8.5% and 9.5% if the index basket gains on each annual valuation date. If the basket is equal to or less than zero, investors will receive par.

The exact interest rate will be set at pricing.

Pricing and settlement dates are yet to be determined.

Lehman Brothers Inc. is the underwriter.

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