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

By Jennifer Chiou

New York, July 23 - Lehman Brothers Holdings Inc. plans to price three-year 0% buffered return enhanced notes linked to a basket of 10 commodities, according to an FWP filing with the Securities and Exchange Commission.

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

The payout at maturity will be par plus any basket gain multiplied by the participation rate, which is expected to be 140% to 160% 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%.

Lehman Brothers Inc. will be the underwriter.

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