Lehman to price principal-protected notes linked to six commodities

By Jennifer Chiou

New York, Feb. 21 - Lehman Brothers Holdings Inc. plans to price zero-coupon principal-protected notes with enhanced participation linked to an equally weighted basket of six commodities, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of light sweet crude oil, reformulated gasoline blendstock for oxygen blending, No. 2 fuel heating oil, grade A copper, primary nickel and standard lead.

The payout at maturity will be par plus the return on the basket multiplied by a participation rate of 165%. The exact participation rate will be determined at pricing. Investors will receive at least par.

The pricing and settlement dates were not disclosed in the filing.

Lehman Brothers Inc. will be the underwriter.

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