Lehman plans autocallable notes linked to Lehman Brothers natural gas index

By Angela McDaniels

Seattle, Nov. 21 - Lehman Brothers Holdings Inc. plans to price an issue of 18-month autocallable notes linked to the Lehman Brothers Commodity Index Natural Gas Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called if the index level is greater than or equal to the initial index level on the fifth business day prior to the one-year anniversary date of the note issuance or on the final valuation date, which is five business days prior to the maturity date.

If called on the fifth business day prior to the anniversary date, the payout will be par of $10,000 plus 31%. If called on the final valuation date, the payout will be par of $10,000 plus 46.5%.

If the notes have not been called, the payout at maturity will be par unless the index declines by more than 45%, in which case investors will be fully exposed to the decline.

The notes will not pay interest.

Lehman Brothers will be the agent.

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