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Lehman to issue 15.8% reverse exchangeables linked to Brazil, China index funds
By E. Janene Geiss
Philadelphia, Dec. 10 - Lehman Brothers Holdings Inc. plans to price an issue of 15.8% reverse exchangeable notes due March 31, 2008 linked to the least performing index fund in a basket, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the iShares MSCI Brazil Index Fund and the iShares FTSE/Xinhua China 25 Index Fund.
If either index fund in the basket falls below its trigger price during the life of the notes and finishes below its initial price, the payout will be a number of shares of the worst-performing index fund equal to par divided by that fund's initial price.
Otherwise, the payout will be par.
The trigger price of each fund will be 60% of its initial price.
The notes are expected to price Dec. 21 and settle Dec. 31.
Lehman Brothers Inc. is the agent.
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