Lehman to price partially protected bearish notes linked to iShares real estate index fund

By Jennifer Chiou

New York, July 16 - Lehman Brothers Holdings Inc. plans to price bearish return enhanced notes with partial protection due Jan. 30, 2009 linked to the iShares Dow Jones U.S. Real Estate Index Fund, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on July 26 and settle on July 31.

The payout at maturity will be par of $10.00 plus triple the absolute value of any negative return on the index, capped at 28%.

If the index increases by less than 10%, the payout will be par. Investors will lose 1% for each 1% that the index increases beyond 10%.

Lehman Brothers Inc. is the agent.

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