Lehman to price 0% notes linked to LBCI Equal Weight Excess Return index

By E. Janene Geiss

Philadelphia, Aug. 29 - Lehman Brothers Holdings Inc. plans to price 0% three-year notes linked to the Lehman Brothers Commodity Index Equal Weight Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The index was launched in February as a variant of the Lehman Brothers Commodity Index Excess Return, and measures about 20 equally weighted commodities and four major sectors: energy, metals, agriculture and livestock.

The payout at maturity will be par of $10,000 plus any index gain multiplied by the participation rate, which is expected to be 120% to 121%. Investors will receive par if the index declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

Lehman Brothers Inc. will be the underwriter.

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