Lehman to price principal-protected notes linked to 10 commodities, two commodity indexes

By Jennifer Chiou

New York, Jan. 10 - Lehman Brothers Holdings Inc. plans to price zero-coupon principal-protected notes due Jan. 31, 2012 linked to a basket of 10 commodities and two commodity indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of light sweet crude oil with a 15% weight, Henry hub natural gas with a 10% weight, RBOB gasoline with a 5% weight, No. 2 fuel heating oil with a 5% weight, high-grade primary aluminum with a 7% weight, copper - grade A with a 7% weight, primary nickel with a 6% weight, special high-grade zinc with a 5% weight, standard lead with a 5% weight, gold with a 5% weight along with 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 notes are expected to price on Jan. 31 and settle on Feb. 7.

The payout at maturity will be par plus the return on the basket multiplied by an upside participation rate of between 103% and 127%. The exact participation rate will be determined at pricing. Investors will receive at least par.

Lehman Brothers Inc. will be the underwriter.

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