Lehman to issue 24.25% reverse exchangeables linked to basket of financial stocks

By Laura Lutz

Des Moines, Dec. 5 - Lehman Brothers Holdings Inc. plans to price an issue of 24.25% reverse exchangeable notes due March 31, 2008 linked to the least performing stocks in a financial basket, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the common stocks of Morgan Stanley; Bank of America Corp.; JPMorgan Chase & Co.; The Goldman Sachs Group, Inc.; and Merrill Lynch & Co., Inc.

If any stock in the basket falls below its trigger price during the life of the notes and any stock in the basket finishes below its initial price, the payout will be a number of shares of the worst-performing stock equal to par divided by that stock's initial price.

Otherwise, the payout will be par.

The trigger price of each stock will be 70% of its initial price.

The notes are expected to price on Dec. 21 and settle on Dec. 31.

Lehman Brothers Inc. is the agent.

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