Lehman to price return enhanced notes linked to ComBATS I

By Angela McDaniels

Tacoma, Wash., June 11 - Lehman Brothers Holdings Inc. plans to price 0% return enhanced notes due June 27, 2011 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 any increase in the strategy value. Investors will receive par if the strategy value declines by 10% or less and will lose 1% for every 1% decline beyond 10%.

The notes are expected to price on June 20 and settle on June 27.

Lehman Brothers Inc. will be the underwriter.

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