Lehman to price capped return notes linked to Lehman Brothers Commodity Index Excess Return

By E. Janene Geiss

Philadelphia, Sept. 6 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protection capped return notes due Sept. 28, 2010 linked to the Lehman Brothers Commodity Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

Lehman Brothers Commodity Index Excess Return is rules-based index of 20 exchange-traded futures contracts on physical commodities that uses liquidity as the primary criterion for commodity selection and weights.

The notes are expected to price Sept. 25 and settle Sept. 28.

The payout at maturity will be par plus any index gain, capped at a maximum return that is expected to be 65% to 75% and will be determined at pricing. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

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