Lehman plans 0% notes linked to ComBATS I strategy

By Laura Lutz

Des Moines, May 9 - Lehman Brothers Holdings Inc. plans to price zero-coupon 100% principal protected four-year notes linked to the Lehman Brothers Commodity Based Alpha Trading Strategies I (ComBATS I), according to an FWP filing with the Securities and Exchange Commission.

ComBATS I is designed to be a monthly resetting market neutral alpha strategy that reflects the difference between the monthly returns on a basket consisting of a long position in the Lehman Brothers Commodity index Pure Beta Excess Returns of 10 single-commodity sub-indexes and a short position in the Lehman Brothers Commodity index Excess Return single commodity sub-indexes for the same 10 commodities.

The payout at maturity will be par plus 150% of the strategy performance, subject to a floor of par.

Lehman Brothers Inc. is the underwriter.

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