Lehman to price 0% notes linked to Dow Jones - AIG Commodity index

By Angela McDaniels

Seattle, July 30 - Lehman Brothers Holdings Inc. plans to price 0% two-year notes linked to the Dow Jones - AIG Commodity Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10,000 plus any index gain multiplied by the participation rate, which is expected to be 245%. The return will be subject to a cap that is expected to be 50%.

Investors will receive par if the index declines by 10% or less and will lose 1% for each 1% decline beyond 10%.

Lehman Brothers Inc. will be the underwriter.

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