Lehman Brothers to price principal protection notes linked to three indexes

By E. Janene Geiss

Philadelphia, July 18 - Lehman Brothers Holdings Inc. plans to price 100% principal protection notes due Aug. 31, 2011 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.

The basket includes the S&P 500 with a 33.34% weight, Dow Jones Euro Stoxx 50 with a 33.33% weight and the Nikkei 225 with a 33.33% weight.

At maturity, investors will receive par plus any positive return on the basket multiplied by a participation rate that will be determined at pricing and expected to be between 105% and 115%.

The notes are expected to price Aug. 28 and settle Aug. 31.

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