Lehman Brothers to price principal protection notes linked to two indexes, index fund

By E. Janene Geiss

Philadelphia, July 13 - Lehman Brothers Holdings Inc. plans to price 100% principal protection notes due July 2009 linked to two indexes and an index fund, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the FTSE/Xinhua China Index and the Russian Depositary Receipts Index, along with the iShares MSCI Brazil Index Fund.

The indexes are equally weighted and combined make up 66.667% of the total basket. The index fund makes up 33.333%.

At maturity, investors will receive par plus any positive return on the basket with a maximum return of 25%. Investors will receive at least par.

The notes are expected to price and settle in July.

Lehman Brothers Inc. is the underwriter.

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