New Issue: Lehman prices $1 million principal-protected notes linked to index fund, two indexes

By Angela McDaniels

Seattle, July 18 - Lehman Brothers Holdings Inc. priced $1 million of zero-coupon 100% principal-protected notes due July 21, 2009 linked to equal weights of the FTSE/Xinhua China index, Russian Depositary index and iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any basket gain, subject to a maximum return of 25%. Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	100% principal-protected notes
Underlying basket:	FTSE/Xinhua China index, Russian Depositary index, iShares MSCI Brazil index fund, equally weighted
Amount:	$1 million
Maturity:	July 21, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any basket gain, capped at 25%; floor of par
Initial levels:	20,662.02 for FTSE/Xinhua China; 2,025.26 for Russian Depositary Receipts; $67.60 for iShares MSCI Brazil
Pricing date:	July 16
Settlement date:	July 19
Underwriter:	Lehman Brothers Inc.
Fees:	0.45%

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