Lehman to price buffered return enhanced notes linked to 10 commodities, two indexes

By Jennifer Chiou

New York, March 26 - Lehman Brothers Holdings Inc. plans to price 0% buffered return enhanced notes due April 25, 2012 linked to 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, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, each with 5% weights; high grade primary aluminum and copper - grade A, both with 7% weights; and primary nickel with a 6% weight. The basket also includes 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 payout at maturity will be par plus 160% to 190% of any gain on the basket.

If the basket falls by up to 20%, the payout will be par. Beyond a 20% decline, investors will lose 1% for each 1% decline.

The notes will price on April 18 and settle on April 25.

Lehman Brothers Inc. is the underwriter.

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