New Issue: Lehman Brothers prices $5.8 million capital-protected notes linked to index fund, commodities

By E. Janene Geiss

Philadelphia, Dec. 27 - Lehman Brothers Holdings Inc. priced $5,816,000 of zero-coupon capital-protected notes due March 30, 2012 linked to a basket with an index fund component with a 30% weight and a commodity component with a 70% weight, according to an FWP filing with the Securities and Exchange Commission.

The index fund component consists of the iShares MSCI Emerging Markets Index fund. The commodities component consists of light sweet crude oil with a 15% weight, Henry Hub natural gas with a 10% weight, high grade primary aluminum, copper - Grade A, both with a 7% weight, primary nickel with a 6% weight, RBOB gasoline, No. 2 fuel heating oil, standard lead, special high grade zinc and gold, each with a 5% weight, along with the S&P GSCI Livestock Index Excess Return with a 10% weight and S&P GSCI Agriculture Index Excess Return with a 20% weight.

The payout at maturity will be par plus 101.5% any gain in the basket. Investors will receive at least par.

Lehman Brothers Inc. will be the agent.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Capital-protected notes
Underlying securities:	Index fund component (30% weight): iShares MSCI Emerging Markets Index fund; Commodities component (70% weight): light sweet crude oil (15% weight), Henry Hub natural gas (10% weight), high grade primary aluminum, copper - Grade A (each with 7% weight), primary nickel (6% weight), RBOB gasoline, No. 2 fuel heating oil, standard lead, special high grade zinc , gold (each with a 5% weight), S&P GSCI Livestock Index Excess Return (10% weight) and S&P GSCI Agriculture Index Excess Return (20% weight)
Amount:	$5,816,000
Maturity:	March 30, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 101.5% of any basket increase; floor of par
Initial levels and prices:	$153.72 for iShares MSCI Emerging Markets Index Fund; 93.3100 for light sweet crude oil; 7.1900 for Henry Hub natural gas; 237.95 for RBOB gasoline, 2.6091 for No. 2 fuel heating oil; 2,365.5 for high grade primary aluminum; 6,630 for copper - grade A; 26,500 for primary nickel; 2,356.5 for special high grade zinc; 2,655 for standard lead; 810.5 for gold; 325.9386 for S&P GSCI Livestock Index Excess Return; and 84.0096 for S&P GSCI Agriculture Index Excess Return.
Pricing date:	Dec. 21
Settlement date:	Dec. 31
Agent:	Lehman Brothers Inc.
Fees:	3.27%, including 2.75% for selling concessions

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